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CATEGORIES:Statistics
SUMMARY:A Backward Particle Interpretation of Feynman-Kac
Formulae - Pierre Del Moral (INRIA Bordeaux)
DTSTART;TZID=Europe/London:20100219T153000
DTEND;TZID=Europe/London:20100219T163000
UID:TALK22988AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/22988
DESCRIPTION:We design a particle interpretation of Feynman-Kac
measures on path spaces based on a backward Marko
vian representation combined with a traditional me
an field particle interpretation of the flow of th
eir final time marginals. In contrast to tradition
al genealogical tree based models\, these new part
icle algorithms can be used to compute normalized
additive functionals on-the-fly as well as their l
imiting occupation measures with a given precision
degree that does not depend on the final time hor
izon. We provide uniform convergence\n results w.r
.t. the time horizon parameter as well as function
al\n central limit theorems and exponential concen
tration estimates\,\n yielding what seems to be th
e first results of this type for this\n class of m
odels. We also illustrate these results in the con
text of\ncomputational physics and imaginary time
Schroedinger type partial\ndifferential equations\
, with a special interest in the numerical\napprox
imation of the invariant measure associated to h-p
rocesses.\n\nJoint work with A. Doucet (UBC\, Stat
istics Dept.) and S. S. Singh (Cambridge\, Engine
ering Dept.)\n\n\n\n\n\n\n\n\n\n\n\n\n\n\nhttp://w
ww.math.u-bordeaux1.fr/~delmoral/
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0W
B
CONTACT:
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