On the LP-convergence of a Girsanov theorem based particle filter

Simo Särkkä; Eric Moulines

doi:10.1109/ICASSP.2016.7472426

On the LP-convergence of a Girsanov theorem based particle filter

École polytechnique

Tutkimustuotos: Artikkeli kirjassa/konferenssijulkaisussa › Conference article in proceedings › Scientific › vertaisarvioitu

3 Sitaatiot (Scopus)

Abstrakti

We analyze the Lp-convergence of a previously proposed Girsanov theorem based particle filter for discretely observed stochastic differential equation (SDE) models. We prove the convergence of the algorithm with the number of particles tending to infinity by requiring a moment condition and a step-wise initial condition boundedness for the stochastic exponential process giving the likelihood ratio of the SDEs. The practical implications of the condition are illustrated with an Ornstein-Uhlenbeck model and with a non-linear Benes model.

Alkuperäiskieli	Englanti
Otsikko	IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016
Kustantaja	IEEE
Sivut	3989-3993
Sivumäärä	5
Vuosikerta	2016-May
ISBN (painettu)	9781479999880
DOI - pysyväislinkit	https://doi.org/10.1109/ICASSP.2016.7472426
Tila	Julkaistu - 18 toukok. 2016
OKM-julkaisutyyppi	A4 Artikkeli konferenssijulkaisussa
Tapahtuma	IEEE International Conference on Acoustics, Speech, and Signal Processing - Shanghai, Kiina Kesto: 20 maalisk. 2016 → 25 maalisk. 2016 Konferenssinumero: 41 http://www.icassp2016.org/

Julkaisusarja

Nimi	Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing
Kustantaja	Institute of Electrical and Electronics Engineers Inc.
ISSN (painettu)	1520-6149
ISSN (elektroninen)	2379-190X

Conference

Conference	IEEE International Conference on Acoustics, Speech, and Signal Processing
Lyhennettä	ICASSP 2016
Maa/Alue	Kiina
Kaupunki	Shanghai
Ajanjakso	20/03/2016 → 25/03/2016
www-osoite	http://www.icassp2016.org/

Pääsy asiakirjaan

10.1109/ICASSP.2016.7472426

Muut tiedostot ja linkit

Link to publication in Scopus

Siteeraa tätä

Särkkä, S., & Moulines, E. (2016). On the LP-convergence of a Girsanov theorem based particle filter. teoksessa IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016 (Vuosikerta 2016-May, Sivut 3989-3993). Artikkeli 7472426 (Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing). IEEE. https://doi.org/10.1109/ICASSP.2016.7472426

@inproceedings{4c1a53ca7d584ff9b58b2190a4eecc1f,

title = "On the LP-convergence of a Girsanov theorem based particle filter",

abstract = "We analyze the Lp-convergence of a previously proposed Girsanov theorem based particle filter for discretely observed stochastic differential equation (SDE) models. We prove the convergence of the algorithm with the number of particles tending to infinity by requiring a moment condition and a step-wise initial condition boundedness for the stochastic exponential process giving the likelihood ratio of the SDEs. The practical implications of the condition are illustrated with an Ornstein-Uhlenbeck model and with a non-linear Benes model.",

keywords = "convergence, Girsanov theorem, particle filter, stochastic differential equation",

author = "Simo S{\"a}rkk{\"a} and Eric Moulines",

year = "2016",

month = may,

day = "18",

doi = "10.1109/ICASSP.2016.7472426",

language = "English",

isbn = "9781479999880",

volume = "2016-May",

series = "Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing",

publisher = "IEEE",

pages = "3989--3993",

booktitle = "IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016",

address = "United States",

note = "IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2016 ; Conference date: 20-03-2016 Through 25-03-2016",

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Särkkä, S & Moulines, E 2016, On the LP-convergence of a Girsanov theorem based particle filter. julkaisussa IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016. Vuosikerta 2016-May, 7472426, Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing, IEEE, Sivut 3989-3993, IEEE International Conference on Acoustics, Speech, and Signal Processing, Shanghai, Kiina, 20/03/2016. https://doi.org/10.1109/ICASSP.2016.7472426

On the LP-convergence of a Girsanov theorem based particle filter. / Särkkä, Simo; Moulines, Eric.
IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016. Vuosikerta 2016-May IEEE, 2016. s. 3989-3993 7472426 (Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing).

Tutkimustuotos: Artikkeli kirjassa/konferenssijulkaisussa › Conference article in proceedings › Scientific › vertaisarvioitu

TY - GEN

T1 - On the LP-convergence of a Girsanov theorem based particle filter

AU - Särkkä, Simo

AU - Moulines, Eric

N1 - Conference code: 41

PY - 2016/5/18

Y1 - 2016/5/18

N2 - We analyze the Lp-convergence of a previously proposed Girsanov theorem based particle filter for discretely observed stochastic differential equation (SDE) models. We prove the convergence of the algorithm with the number of particles tending to infinity by requiring a moment condition and a step-wise initial condition boundedness for the stochastic exponential process giving the likelihood ratio of the SDEs. The practical implications of the condition are illustrated with an Ornstein-Uhlenbeck model and with a non-linear Benes model.

AB - We analyze the Lp-convergence of a previously proposed Girsanov theorem based particle filter for discretely observed stochastic differential equation (SDE) models. We prove the convergence of the algorithm with the number of particles tending to infinity by requiring a moment condition and a step-wise initial condition boundedness for the stochastic exponential process giving the likelihood ratio of the SDEs. The practical implications of the condition are illustrated with an Ornstein-Uhlenbeck model and with a non-linear Benes model.

KW - convergence

KW - Girsanov theorem

KW - particle filter

KW - stochastic differential equation

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U2 - 10.1109/ICASSP.2016.7472426

DO - 10.1109/ICASSP.2016.7472426

M3 - Conference article in proceedings

AN - SCOPUS:84973333207

SN - 9781479999880

VL - 2016-May

T3 - Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing

SP - 3989

EP - 3993

BT - IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016

PB - IEEE

T2 - IEEE International Conference on Acoustics, Speech, and Signal Processing

Y2 - 20 March 2016 through 25 March 2016

ER -

Särkkä S, Moulines E. On the LP-convergence of a Girsanov theorem based particle filter. julkaisussa IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2016. Vuosikerta 2016-May. IEEE. 2016. s. 3989-3993. 7472426. (Proceedings of the IEEE International Conference on Acoustics, Speech, and Signal Processing). doi: 10.1109/ICASSP.2016.7472426

On the LP-convergence of a Girsanov theorem based particle filter

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