Antithetic Multilevel Particle Filters

TL;DR

This paper introduces an antithetic multilevel particle filter using a Milstein scheme, achieving lower computational cost for filtering multidimensional diffusions compared to existing methods.

Contribution

It develops a novel particle filter based on the antithetic truncated Milstein scheme, improving efficiency over the Euler-based multilevel particle filter for certain diffusion problems.

Findings

Cost to achieve MSE of O(ε^2) is O(ε^{-2} log(ε)^2) with the new method.

Outperforms the multilevel particle filter with cost O(ε^{-2.5}) for multidimensional diffusions.

Numerical results validate theoretical efficiency gains.

Abstract

In this paper we consider the filtering of partially observed multi-dimensional diffusion processes that are observed regularly at discrete times. This is a challenging problem which requires the use of advanced numerical schemes based upon time-discretization of the diffusion process and then the application of particle filters. Perhaps the state-of-the-art method for moderate dimensional problems is the multilevel particle filter of \cite{mlpf}. This is a method that combines multilevel Monte Carlo and particle filters. The approach in that article is based intrinsically upon an Euler discretization method. We develop a new particle filter based upon the antithetic truncated Milstein scheme of \cite{ml_anti}. We show that for a class of diffusion problems, for $\epsilon>0$ given, that the cost to produce a mean square error (MSE) in estimation of the filter, of $\mathcal{O}(\epsilon^2)$ is $\mathcal{O}(\epsilon^{-2}\log(\epsilon)^2)$. In the case of multidimensional diffusions with non-constant diffusion coefficient, the method of \cite{mlpf} has a cost of $\mathcal{O}(\epsilon^{-2.5})$ to achieve the same MSE. We support our theory with numerical results in several examples.