A Backward Particle Interpretation of Feynman-Kac Formulae

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• Pierre Del Moral (INRIA Bordeaux)
• Friday 19 February 2010, 15:30-16:30
• MR12, CMS, Wilberforce Road, Cambridge, CB3 0WB.

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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 w.r.t. the time horizon parameter as well as functional central limit theorems and exponential concentration estimates, yielding what seems to be the first results of this type for this class of models. We also illustrate these results in the context of computational physics and imaginary time Schroedinger type partial differential equations, with a special interest in the numerical approximation of the invariant measure associated to h-processes.

Joint work with A. Doucet (UBC, Statistics Dept.) and S. S. Singh (Cambridge, Engineering Dept.)

http://www.math.u-bordeaux1.fr/~delmoral/

This talk is part of the Statistics series.

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