Nonasymptotic analysis of adaptive and annealed Feynman-Kac particle models

TL;DR

This paper provides a nonasymptotic analysis of adaptive and annealed Feynman-Kac particle models, establishing stability conditions and concentration inequalities, and introduces new adaptive strategies for temperature tuning in sampling algorithms.

Contribution

It offers the first nonasymptotic concentration results for adaptive and annealed Feynman-Kac models, including explicit tuning methods for MCMC iterations based on temperature schedules.

Findings

Derived explicit stability conditions using Dobrushin coefficients.

Established concentration inequalities uniform in time.

Proposed adaptive temperature increment strategies for improved sampling.

Abstract

Sequential and quantum Monte Carlo methods, as well as genetic type search algorithms can be interpreted as a mean field and interacting particle approximations of Feynman-Kac models in distribution spaces. The performance of these population Monte Carlo algorithms is strongly related to the stability properties of nonlinear Feynman-Kac semigroups. In this paper, we analyze these models in terms of Dobrushin ergodic coefficients of the reference Markov transitions and the oscillations of the potential functions. Sufficient conditions for uniform concentration inequalities w.r.t. time are expressed explicitly in terms of these two quantities. We provide an original perturbation analysis that applies to annealed and adaptive Feynman-Kac models, yielding what seems to be the first results of this kind for these types of models. Special attention is devoted to the particular case of Boltzmann-Gibbs measures' sampling. In this context, we design an explicit way of tuning the number of Markov chain Monte Carlo iterations with temperature schedule. We also design an alternative interacting particle method based on an adaptive strategy to define the temperature increments. The theoretical analysis of the performance of this adaptive model is much more involved as both the potential functions and the reference Markov transitions now depend on the random evolution on the particle model. The nonasymptotic analysis of these complex adaptive models is an open research problem. We initiate this study with the concentration analysis of a simplified adaptive models based on reference Markov transitions that coincide with the limiting quantities, as the number of particles tends to infinity.