Theoretical properties of quasi-stationary Monte Carlo methods
Methodology
2018-12-07 v3 Probability
Abstract
This paper gives foundational results for the application of quasi-stationarity to Monte Carlo inference problems. We prove natural sufficient conditions for the quasi-limiting distribution of a killed diffusion to coincide with a target density of interest. We also quantify the rate of convergence to quasi-stationarity by relating the killed diffusion to an appropriate Langevin diffusion. As an example, we consider in detail a killed Ornstein--Uhlenbeck process with Gaussian quasi-stationary distribution.
Keywords
Cite
@article{arxiv.1707.08036,
title = {Theoretical properties of quasi-stationary Monte Carlo methods},
author = {Andi Q. Wang and Martin Kolb and Gareth O. Roberts and David Steinsaltz},
journal= {arXiv preprint arXiv:1707.08036},
year = {2018}
}
Comments
27 pages, 1 figure. Final version of accepted paper. Minor typos corrected