A stable particle filter for a class of high-dimensional state-space models

• Published in: Advances in applied probability Vol. 49; no. 1; pp. 24 - 48
• Main Authors: Beskos, Alexandros, Crisan, Dan, Jasra, Ajay, Kamatani, Kengo, Zhou, Yan
• Format: Journal Article
• Language: English
• Published: Cambridge, UK Cambridge University Press 01.03.2017; Applied Probability Trust
• Subjects: Approximation; Computer simulation; Dimensional stability; Filtration; Markov chains; Monte Carlo simulation; Probability; State space models; Primary 62M20; particle filter; State-space model; high dimensions; Secondary 60G35
• ISSN: 0001-8678; 1475-6064
• DOI: 10.1017/apr.2016.77

We consider the numerical approximation of the filtering problem in high dimensions, that is, when the hidden state lies in ℝ d with large d. For low-dimensional problems, one of the most popular numerical procedures for consistent inference is the class of approximations termed particle filters or sequential Monte Carlo methods. However, in high dimensions, standard particle filters (e.g. the bootstrap particle filter) can have a cost that is exponential in d for the algorithm to be stable in an appropriate sense. We develop a new particle filter, called the space‒time particle filter, for a specific family of state-space models in discrete time. This new class of particle filters provides consistent Monte Carlo estimates for any fixed d, as do standard particle filters. Moreover, when there is a spatial mixing element in the dimension of the state vector, the space‒time particle filter will scale much better with d than the standard filter for a class of filtering problems. We illustrate this analytically for a model of a simple independent and identically distributed structure and a model of an L-Markovian structure (L≥ 1, L independent of d) in the d-dimensional space direction, when we show that the algorithm exhibits certain stability properties as d increases at a cost (nNd 2), where n is the time parameter and N is the number of Monte Carlo samples, which are fixed and independent of d. Our theoretical results are also supported by numerical simulations on practical models of complex structures. The results suggest that it is indeed possible to tackle some high-dimensional filtering problems using the space‒time particle filter that standard particle filters cannot handle.