Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators (1204.2382v1)

Published 11 Apr 2012 in math.PR

Abstract: We provide a generic way of deducing non-asymptotic error bounds for Sequential MCMC methods from suitable stability properties of Feynman-Kac propagators. We show how to derive this type of stability from mixing conditions for the MCMC dynamics, namely, spectral gaps and hyperboundedness, and from upper bounds on the relative densities in the sequence of distributions.

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Authors (1)

Nikolaus Schweizer

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