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MULTILEVEL MONTE CARLO FOR SMOOTHING VIA TRANSPORT METHODS

Accepted version
Peer-reviewed

Type

Article

Change log

Authors

Houssineau, Jeremie 
Jasra, Ajay 
Singh, SS 

Abstract

In this article we consider recursive approximations of the smoothing distribution associated to partially observed \glspl{sde}, which are observed discretely in time. Such models appear in a wide variety of applications including econometrics, finance and engineering. This problem is notoriously challenging, as the smoother is not available analytically and hence require numerical approximation. This usually consists by applying a time-discretization to the \gls{sde}, for instance the Euler method, and then applying a numerical (e.g.\ Monte Carlo) method to approximate the smoother. This has lead to a vast literature on methodology for solving such problems, perhaps the most popular of which is based upon the \gls{pf} e.g.\ \cite{Doucet2011}. \changed{In the context of filtering for this class of problems, it is well-known that the particle filter can be improved upon in terms of cost to achieve a given \gls{mse} for estimates.} This in the sense that the computational effort can be reduced to achieve this target \gls{mse}, by using \gls{ml} methods \cite{Giles2008,Giles2015,Heinrich2001}, via the \gls{mlpf} \cite{Gregory2016,Jasra2015,Jasra2018}. \changed{For instance, to obtain a \gls{mse} of O(ϵ2) for some ϵ>0 when approximating filtering distributions associated with Euler-discretized diffusions with constant diffusion coefficients, the cost of the \gls{pf} is O(ϵ−3) while the cost of the \gls{mlpf} is O(ϵ−2log⁡(ϵ)2).} In this article we consider a new approach to replace the particle filter, using transport methods in \cite{Spantini2017}. \changed{In the context of filtering, one expects that the proposed method improves upon the \gls{mlpf} by yielding, under assumptions, a \gls{mse} of O(ϵ2) for a cost of O(ϵ−2).} This is established theoretically in an ``ideal'' example and numerically in numerous examples.

Description

Keywords

transport map, stochastic differential equation, multilevel Monte Carlo

Journal Title

SIAM Journal on Scientific Computing

Conference Name

Journal ISSN

1095-7197
1095-7197

Volume Title

40

Publisher

Society for Industrial and Applied Mathematics
Sponsorship
Alan Turing Institute (unknown)