Branching and interacting particle systems. Approximations of Feynman-Kac formulae with applications to non-linear filtering
Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman–Kac semigroups
We present an interacting particle system methodology for the numerical solving of the Lyapunov exponent of Feynman–Kac semigroups and for estimating the principal eigenvalue of Schrödinger generators. The continuous or discrete time models studied in this work consists of interacting particles evolving in an environment with soft obstacles related to a potential function . These models are related to genetic algorithms and Moran type particle schemes. Their choice is not unique. We will examine...
On the stability of interacting processes with applications to filtering and genetic algorithms
On the stability of nonlinear Feynman-Kac semigroups
Dynamiques recuites de type Feynman-Kac : résultats précis et conjectures
Soit une fonction définie sur un ensemble fini muni d'un noyau markovien irréductible . L'objectif du papier est de comparer théoriquement deux procédures stochastiques de minimisation globale de : le recuit simulé et un algorithme génétique. Pour ceci on se placera dans la situation idéalisée d'une infinité de particules disponibles et nous ferons une hypothèse commode d'existence de suffisamment de symétries du cadre . On verra notamment que contrairement au recuit simulé, toute évolution...
An introduction to probabilistic methods with applications
This special volume of the ESAIM Journal, , contains a collection of articles on probabilistic interpretations of some classes of nonlinear integro-differential equations. The selected contributions deal with a wide range of topics in applied probability theory and stochastic analysis, with applications in a variety of scientific disciplines, including physics, biology, fluid mechanics, molecular chemistry, financial mathematics and bayesian statistics. In this preface, we provide a brief presentation...
Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman–Kac semigroups
We present an interacting particle system methodology for the numerical solving of the Lyapunov exponent of Feynman–Kac semigroups and for estimating the principal eigenvalue of Schrödinger generators. The continuous or discrete time models studied in this work consists of interacting particles evolving in an environment with soft obstacles related to a potential function . These models are related to genetic algorithms and Moran type particle schemes. Their choice is not unique. We...
Discrete time markovian agents interacting through a potential
A discrete time stochastic model for a multiagent system given in terms of a large collection of interacting Markov chains is studied. The evolution of the interacting particles is described through a time inhomogeneous transition probability kernel that depends on the ‘gradient’ of the potential field. The particles, in turn, dynamically modify the potential field through their cumulative input. Interacting Markov processes of the above form have been suggested as models for active biological transport...
A backward particle interpretation of Feynman-Kac formulae
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to traditional genealogical tree based models, these new particle algorithms can be used to compute normalized additive functionals “on-the-fly” as well as their limiting occupation measures with a given precision degree that does not depend on the final time horizon. We...
A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods.
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