Adaptive exact-approximate sequential Monte Carlo

Abstract

Exact-approximate sequential Monte Carlo (SMC) methods target the exact posterior of intractable likelihood models by using a non-negative unbiased estimator of the likelihood when the likelihood is computationally intractable. For state-space models, a particle filter estimator can be used to obtain an unbiased estimate of the likelihood. The efficiency of exact-approximate SMC greatly depends on the variance of the likelihood estimator, and therefore on the number of state particles used within the particle filter. We introduce a novel method to adaptively select the number of state particles within exact-approximate SMC. We also utilise the expected squared jumping distance to trigger the adaptation, and modify the exchange importance sampling method of Chopin et al. (2012) to replace the current set of state particles with the new set. The resulting algorithm is fully adaptive, and can significantly improve current methods. Code for our methods is available at https://github.com/imkebotha/adaptive-exactapproximate-smc.