On the concentration properties of Interacting particle processes

Details On the concentration properties of Interacting particle processes On the concentration properties of Interacting particle processes

2011-07-11

arxiv.org/abs/1107.1948v2

N° RR-7677 (2011)

Mathematics

Numerical Analysis

Scientific paper

These lecture notes present some new concentration inequalities for Feynman-Kac particle processes. We analyze different types of stochastic particle models, including particle profile occupation measures, genealogical tree based evolution models, particle free energies, as well as backward Markov chain particle models. We illustrate these results with a series of topics related to computational physics and biology, stochastic optimization, signal processing and bayesian statistics, and many other probabilistic machine learning algorithms. Special emphasis is given to the stochastic modeling and the quantitative performance analysis of a series of advanced Monte Carlo methods, including particle filters, genetic type island models, Markov bridge models, interacting particle Markov chain Monte Carlo methodologies.

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