Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models.
Dan CRISAN, Pierre DEL MORAL, Ajay JASRA, Hamza RUZAYQAT
2021
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-Bucy filter based estimates based upon several nonlinear Kalman-Bucy diffusions. Based upon new conditional bias results for the mean of the afore-mentioned methods, we analyze the empirical log-scale normalization constants in terms of their $\mathbb{L}_n-$errors and conditional bias. Depending on the type of nonlinear Kalman-Bucy diffusion, we show that these are of order $(\sqrt{t/N}) + t/N$ or $1/\sqrt{N}$ ($\mathbb{L}_n-$errors) and of order $[t+\sqrt{t}]/N$ or $1/N$ (conditional bias), where $t$ is the time horizon and $N$ is the ensemble size. Finally, we use these results for online static parameter estimation for above filtering models and implement the methodology for both linear and nonlinear models.
Two-dimensional pseudo-gravity model: particles motion in a non-potential singular force field.
Thierry GOUDON, Julien BARRE, Dan CRISAN
Transactions AMS | 2019
No summary available.
Numerical method for fbsdes of mckean-vlasov type.
Jean francois CHASSAGNEUX, Dan CRISAN, Francois DELARUE
2018
This paper is dedicated to the presentation and the analysis of a numerical scheme for forward-backward SDEs of the McKean-Vlasov type, or equivalently for solutions to PDEs on the Wasserstein space. Because of the mean field structure of the equation, earlier methods for classical forward-backward systems fail. The scheme is based on a variation of the method of continuation. The principle is to implement recursively local Picard iterations on small time intervals. We establish a bound for the rate of convergence under the assumption that the decoupling field of the forward-bakward SDE (or equivalently the solution of the PDE) satisfies mild regularity conditions. We also provide numerical illustrations.
Two-dimensional pseudo-gravity model: Particles motion in a non-potential singular force field.
Julien BARRE, Dan CRISAN, Thierry GOUDON
Transactions of the American Mathematical Society | 2018
No summary available.
Unbiased multi-index Monte Carlo.
Dan CRISAN, Pierre del MORAL, Jeremie HOUSSINEAU, Ajay JASRA
Stochastic Analysis and Applications | 2017
We introduce a new class of Monte Carlo-based approximations of expectations of random variables such that their laws are only available via certain discretizations. Sampling from the discretized versions of these laws can typically introduce a bias. In this paper, we show how to remove that bias, by introducing a new version of multi-index Monte Carlo (MIMC) that has the added advantage of reducing the computational effort, relative to i.i.d. sampling from the most precise discretization, for a given level of error. We cover extensions of results regarding variance and optimality criteria for the new approach. We apply the methodology to the problem of computing an unbiased mollified version of the solution of a partial differential equation with random coefficients. A second application concerns the Bayesian inference (the smoothing problem) of an infinite-dimensional signal modeled by the solution of a stochastic partial differential equation that is observed on a discrete space grid and at discrete times. Both applications are complemented by numerical simulations.
The stability of the nonlinear filter in continuous time.
Van bien BUI, Sylvain RUBENTHALER, Eric MOULINES, Sylvain RUBENTHALER, Eric MOULINES, Nicolas CHOPIN, Cedric BERNARDIN, Francois DELARUE, Bruno REMILLARD, Dan CRISAN, Nicolas CHOPIN
2016
The filtering problem consists in estimating the state of a dynamic system, called a signal which is often a Markovian process, from noisy observations of past states of the system. In this paper, we consider a continuous time filtering model for the diffusion process. The goal is to study the stability of the optimal filter with respect to its initial condition beyond the (strong) mixing assumption for the transition kernel ignoring the ergodicity of the signal.
Two-dimensional pseudo-gravity model.
Julien BARRE, Dan CRISAN, Thierry GOUDON
2016
We analyze a simple macroscopic model describing the evolution of a cloud of particles confined in a magneto-optical trap. The behavior of the particles is mainly driven by self–consistent attractive forces. In contrast to the standard model of gravitational forces, the force field does not result from a potential. moreover, the non linear coupling is more singular than the coupling based on the Poisson equation. We establish the existence of solutions, under a suitable smallness condition on the total mass, or, equivalently, for a sufficiently large diffusion coefficient. When a symmetry assumption is fulfilled, the solutions satisfy strengthened estimates (exponential moments). We also investigate the convergence of the N-particles description towards the PDE system in the mean field regime.
A probabilistic approach to classical solutions of the master equation for large population equilibria.
Jean francois CHASSAGNEUX, Dan CRISAN, Francois DELARUE
2015
We analyze a class of nonlinear partial dierential equations (PDEs) defined on the Euclidean space of dimension d times the Wasserstein space of d-dimensional probability measures with a finite second-order moment. We show that such equations admit a classical solutions for sufficiently small time intervals. Under additional constraints, we prove that their solution can be extended to arbitrary large intervals. These nonlinear PDEs arise in the recent developments in the theory of large population stochastic control. More precisely they are the so-called master equations corresponding to asymptotic equilibria for a large population of controlled players with mean-field interaction and subject to minimization constraints. The results in the paper are deduced by exploiting this connection. In particular, we study the differentiability with respect to the initial condition of the flow generated by a forward-backward stochastic system of McKean-Vlasov type. As a byproduct, we prove that the decoupling field generated by the forward-backward system is a classical solution of the corresponding master equation. Finally, we give several applications to mean-field games and to the control of McKean-Vlasov diffusion processes.
Kusuoka–Stroock gradient bounds for the solution of the filtering equation.
Dan CRISAN, Christian LITTERER, Terry LYONS
Journal of Functional Analysis | 2015
© 2014 Elsevier Inc.We obtain sharp gradient bounds for perturbed diffusion semigroups. In contrast with existing results, the perturbation is here random and the bounds obtained are pathwise. Our approach builds on the classical work of Kusuoka and Stroock [13,14,16,17], and extends their program developed for the heat semi-group to solutions of stochastic partial differential equations. The work is motivated by and applied to nonlinear filtering. The analysis allows us to derive pathwise gradient bounds for the un-normalised conditional distribution of a partially observed signal. It uses a pathwise representation of the perturbed semigroup following Ocone [22]. The estimates we derive have sharp small time asymptotics.
