CUED Publications database

MULTILEVEL MONTE CARLO FOR SMOOTHING VIA TRANSPORT METHODS

Houssineau, J and Jasra, A and Singh, SS (2018) MULTILEVEL MONTE CARLO FOR SMOOTHING VIA TRANSPORT METHODS. SIAM Journal on Scientific Computing, 40. A2315-A2335. ISSN 1095-7197 (Unpublished)

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Abstract

In this article we consider recursive approximations of the smoothing distribution associated to partially observed \glspl{sde}, which are observed discretely in time. Such models appear in a wide variety of applications including econometrics, finance and engineering. This problem is notoriously challenging, as the smoother is not available analytically and hence require numerical approximation. This usually consists by applying a time-discretization to the \gls{sde}, for instance the Euler method, and then applying a numerical (e.g.\ Monte Carlo) method to approximate the smoother. This has lead to a vast literature on methodology for solving such problems, perhaps the most popular of which is based upon the \gls{pf} e.g.\ \cite{Doucet2011}. \changed{In the context of filtering for this class of problems, it is well-known that the particle filter can be improved upon in terms of cost to achieve a given \gls{mse} for estimates.} This in the sense that the computational effort can be reduced to achieve this target \gls{mse}, by using \gls{ml} methods \cite{Giles2008,Giles2015,Heinrich2001}, via the \gls{mlpf} \cite{Gregory2016,Jasra2015,Jasra2018}. \changed{For instance, to obtain a \gls{mse} of $\mathcal{O}(\epsilon^2)$ for some $\epsilon>0$ when approximating filtering distributions associated with Euler-discretized diffusions with constant diffusion coefficients, the cost of the \gls{pf} is $\mathcal{O}(\epsilon^{-3})$ while the cost of the \gls{mlpf} is $\mathcal{O}(\epsilon^{-2}\log(\epsilon)^2)$.} In this article we consider a new approach to replace the particle filter, using transport methods in \cite{Spantini2017}. \changed{In the context of filtering, one expects that the proposed method improves upon the \gls{mlpf} by yielding, under assumptions, a \gls{mse} of $\mathcal{O}(\epsilon^2)$ for a cost of $\mathcal{O}(\epsilon^{-2})$.} This is established theoretically in an ``ideal'' example and numerically in numerous examples.

Item Type: Article
Uncontrolled Keywords: transport map stochastic differential equation multilevel Monte Carlo
Subjects: UNSPECIFIED
Divisions: Div F > Signal Processing and Communications
Depositing User: Cron Job
Date Deposited: 16 Jun 2018 20:08
Last Modified: 22 Oct 2019 09:16
DOI: 10.1137/17M1156071