Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo (1603.02834v3)

Abstract: We present a sequential Monte Carlo algorithm for Markov chain trajectories with proposals constructed in reverse time, which is advantageous when paths are conditioned to end in a rare set. The reverse time proposal distribution is constructed by approximating the ratio of Green's functions in Nagasawa's formula. Conditioning arguments can be used to interpret these ratios as low-dimensional conditional sampling distributions of some coordinates of the process given the others. Hence the difficulty in designing SMC proposals in high dimension is greatly reduced. We illustrate our method on estimating an overflow probability in a queueing model, the probability that a diffusion follows a narrowing corridor, and the initial location of an infection in an epidemic model on a network.