Variance Reduction of Resampling for Sequential Monte Carlo
This work addresses variance reduction in resampling schemes for sequential Monte Carlo, which is crucial for improving efficiency and accuracy in statistical inference, particularly for hidden Markov models, though it appears incremental as it builds on existing resampling methods.
The paper tackles the problem of reducing variance in resampling for sequential Monte Carlo methods, achieving the lowest variances compared to other methods and demonstrating faster performance than state-of-the-art algorithms in both linear and non-linear hidden Markov models.
A resampling scheme provides a way to switch low-weight particles for sequential Monte Carlo with higher-weight particles representing the objective distribution. The less the variance of the weight distribution is, the more concentrated the effective particles are, and the quicker and more accurate it is to approximate the hidden Markov model, especially for the nonlinear case. We propose a repetitive deterministic domain with median ergodicity for resampling and have achieved the lowest variances compared to the other resampling methods. As the size of the deterministic domain $M\ll N$ (the size of population), given a feasible size of particles, our algorithm is faster than the state of the art, which is verified by theoretical deduction and experiments of a hidden Markov model in both the linear and non-linear cases.