Variance Reduction of Resampling for Sequential Monte Carlo

A resampling scheme provides a way to switch low-weight particles for sequential Monte Carlo with higher-weight particles representing the objective distribution. The less the variance of the weight distribution is, the more concentrated the effective particles are, and the quicker and more accurate...

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Bibliographic Details
Main Authors Dai, Xiongming, Baumgartner, Gerald
Format Journal Article
LanguageEnglish
Published 10.09.2023
Subjects
Computer Science - Artificial Intelligence
Computer Science - Learning
Statistics - Computation
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Summary:A resampling scheme provides a way to switch low-weight particles for sequential Monte Carlo with higher-weight particles representing the objective distribution. The less the variance of the weight distribution is, the more concentrated the effective particles are, and the quicker and more accurate it is to approximate the hidden Markov model, especially for the nonlinear case. We propose a repetitive deterministic domain with median ergodicity for resampling and have achieved the lowest variances compared to the other resampling methods. As the size of the deterministic domain $M\ll N$ (the size of population), given a feasible size of particles, our algorithm is faster than the state of the art, which is verified by theoretical deduction and experiments of a hidden Markov model in both the linear and non-linear cases.
DOI:10.48550/arxiv.2309.08620