CUED Publications database

A backward particle interpretation of Feynman-Kac formulae

Pierre, DM and A, D and S S, S (2009) A backward particle interpretation of Feynman-Kac formulae. Technical Report. INRIA, France.

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We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to traditional genealogical tree based models, these new particle algorithms can be used to compute normalized additive functionals "on-the-fly" as well as their limiting occupation measures with a given precision degree that does not depend on the final time horizon. We provide uniform convergence results with respect to the time horizon parameter as well as functional central limit theorems and exponential concentration estimates. Our results have important consequences for online parameter estimation for non-linear non-Gaussian state-space models. We show how the forward filtering backward smoothing estimates of additive functionals can be computed using a forward only recursion.

Item Type: Monograph (Technical Report)
Divisions: Div F > Signal Processing and Communications
Depositing User: Cron Job
Date Deposited: 17 Jul 2017 19:54
Last Modified: 15 Oct 2019 03:13