Convergence Bounds for Sequential Monte Carlo on Multimodal Distributions using Soft Decomposition

• URL: http://arxiv.org/abs/2405.19553v1
• Date: Wed, 29 May 2024 22:43:45 GMT
• Title: Convergence Bounds for Sequential Monte Carlo on Multimodal Distributions using Soft Decomposition
• Authors: Holden Lee, Matheau Santana-Gijzen,
• Abstract summary: We prove bounds on the variance of a function $f$ under the empirical measure of the samples obtained by the Sequential Monte Carlo (SMC) algorithm. We show that bounds can be obtained in the truly multi-modal setting, with mixing times that depend on local MCMC dynamics.
• Score: 6.872242798058046
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We prove bounds on the variance of a function $f$ under the empirical measure of the samples obtained by the Sequential Monte Carlo (SMC) algorithm, with time complexity depending on local rather than global Markov chain mixing dynamics. SMC is a Markov Chain Monte Carlo (MCMC) method, which starts by drawing $N$ particles from a known distribution, and then, through a sequence of distributions, re-weights and re-samples the particles, at each instance applying a Markov chain for smoothing. In principle, SMC tries to alleviate problems from multi-modality. However, most theoretical guarantees for SMC are obtained by assuming global mixing time bounds, which are only efficient in the uni-modal setting. We show that bounds can be obtained in the truly multi-modal setting, with mixing times that depend only on local MCMC dynamics.

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