On the Stability of Sequential Monte Carlo Methods in High Dimensions

Understand

We investigate the stability of a Sequential Monte Carlo (SMC) method applied to the problem of sampling from a target distribution on $\mathbb{R}^d$ for large $d$.

• It is well known that using a single importance sampling step one produces an approximation for the target that deteriorates as the dimension $d$ increases, unless the number of Monte Carlo samples $N$ increases at an exponential rate in $d$.
• We show that this degeneracy can be avoided by introducing a sequence of artificial targets, starting from a `simple' density and moving to the one of interest, using an SMC method to sample from the sequence.
• Using this class of SMC methods with a fixed number of samples, one can produce an approximation for which the effective sample size (ESS) converges to a random variable $\varepsilon_N$ as $d\rightarrow\infty$ with $1<\varepsilon_{N}<N$.