Handle URI:
http://hdl.handle.net/10754/624851
Title:
Multilevel particle filter
Authors:
Law, Kody
Abstract:
This talk will pertain to the filtering of partially observed diffusions, with discrete-time observations. It is assumed that only biased approximations of the diffusion can be obtained, for choice of an accuracy parameter indexed by l. A multilevel estimator is proposed, consisting of a telescopic sum of increment estimators associated to the successive levels. The work associated to O( 2) mean-square error between the multilevel estimator and average with respect to the filtering distribution is shown to scale optimally, for example as O( 2) for optimal rates of convergence of the underlying diffusion approximation. The method is illustrated on some toy examples as well as estimation of interest rate based on real S&P 500 stock price data.
Conference/Event name:
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)
Issue Date:
6-Jan-2016
Type:
Presentation
Additional Links:
http://mediasite.kaust.edu.sa/Mediasite/Play/78245e5ce65b463c9ee80281878c39fa1d?catalog=ca65101c-a4eb-4057-9444-45f799bd9c52
Appears in Collections:
Conference on Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)

Full metadata record

DC FieldValue Language
dc.contributor.authorLaw, Kodyen
dc.date.accessioned2017-06-08T06:32:29Z-
dc.date.available2017-06-08T06:32:29Z-
dc.date.issued2016-01-06-
dc.identifier.urihttp://hdl.handle.net/10754/624851-
dc.description.abstractThis talk will pertain to the filtering of partially observed diffusions, with discrete-time observations. It is assumed that only biased approximations of the diffusion can be obtained, for choice of an accuracy parameter indexed by l. A multilevel estimator is proposed, consisting of a telescopic sum of increment estimators associated to the successive levels. The work associated to O( 2) mean-square error between the multilevel estimator and average with respect to the filtering distribution is shown to scale optimally, for example as O( 2) for optimal rates of convergence of the underlying diffusion approximation. The method is illustrated on some toy examples as well as estimation of interest rate based on real S&P 500 stock price data.en
dc.relation.urlhttp://mediasite.kaust.edu.sa/Mediasite/Play/78245e5ce65b463c9ee80281878c39fa1d?catalog=ca65101c-a4eb-4057-9444-45f799bd9c52en
dc.titleMultilevel particle filteren
dc.typePresentationen
dc.conference.dateJanuary 5-10, 2016en
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)en
dc.conference.locationKAUSTen
dc.contributor.institutionOak Ridge National Laboratoryen
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