## 統計数学セミナー

担当者 吉田朋広、荻原哲平、小池祐太 http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

### 2015年01月16日(金)

14:00-15:30   数理科学研究科棟(駒場) 052号室
Ajay Jasra 氏 (National University of Singapore)
A stable particle filter in high-dimensions
[ 講演概要 ]
We consider the numerical approximation of the filtering problem in high dimensions, that is, when the hidden state lies in $\mathbb{R}^d$ with $d$ large. For low dimensional problems, one of the most popular numerical procedures for consistent inference is the class of approximations termed as particle filters or sequential Monte Carlo methods. However, in high dimensions, standard particle filters (e.g. the bootstrap particle filter) can have a cost that is exponential in $d$ for the algorithm to be stable in an appropriate sense. We develop a new particle filter, called the space-time particle filter, for a specific family of state-space models in discrete time. This new class of particle filters provide consistent Monte Carlo estimates for any fixed $d$, as do standard particle filters. Moreover, under a simple i.i.d. model structure, we show that in order to achieve some stability properties this new filter has cost $\mathcal{O}(nNd^2)$, where $n$ is the time parameter and $N$ is the number of Monte Carlo samples, that are fixed and independent of $d$. Similar results hold, under a more general structure than the i.i.d. one. Here we show that, under additional assumptions and with the same cost, the asymptotic variance of the relative estimate of the normalizing constant grows at most linearly in time and independently of the dimension. Our theoretical results are supported by numerical simulations. The results suggest that it is possible to tackle some high dimensional filtering problems using the space-time particle filter that standard particle filters cannot.

This is joint work with: Alex Beskos (UCL), Dan Crisan (Imperial), Kengo Kamatani (Osaka) and Yan Zhou (NUS).
[ 参考URL ]
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2014/06.html