On particle Gibbs Markov chain Monte Carlo models

Abstract : This article analyses a new class of advanced particle Markov chain Monte Carlo algorithms recently introduced by Andrieu, Doucet, and Holenstein (2010). We present a natural interpretation of these methods in terms of well known unbiasedness properties of Feynman-Kac particle measures, and a new duality with Feynman-Kac models. This perspective sheds a new light on the foundations and the mathematical analysis of this class of methods. A key consequence is the equivalence between the backward and ancestral particle Markov chain Monte Carlo methods, with the Gibbs sampling of a (many-body) Feynman-Kac target distribution. Our approach also presents a new stochastic differential calculus based on geometric combinatorial techniques to derive explicit non-asymptotic Taylor type series of the semigroup of a class of particle Markov chain Monte Carlo models around their invariant measures with respect to the population size of the auxiliary particle sampler. These results provide sharp quantitative estimates of the convergence properties of conditional particle Markov chain models with respect to the time horizon and the size of the systems. We illustrate the implication of these results with sharp estimates of the contraction coefficient and the Lyapunov exponent of conditional particle samplers, and explicit and non-asymptotic L p-mean error decompositions of the law of the random states around the limiting invariant measure. The abstract framework developed in the article also allows the design of natural extensions to island (also called SMC 2) type particle methodologies.
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  • HAL Id : hal-01593886, version 1

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Pierre del Moral, R Kohn, F. Patras. On particle Gibbs Markov chain Monte Carlo models. [Research Report] Arxiv. 2014. ⟨hal-01593886⟩

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