Fluctuations, stability and instability of a distributed particle filter with local exchange

Kari Heine; Nick Whiteley

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arXiv · 1505.02390

Fluctuations, stability and instability of a distributed particle filter with local exchange

Kari Heine·Nick Whiteley

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Abstract

We study a distributed particle filter proposed by Boli\'c et al.~(2005). This algorithm involves $m$ groups of $M$ particles, with interaction between groups occurring through a "local exchange" mechanism. We establish a central limit theorem in the regime where $M$ is fixed and $m\to\infty$. A formula we obtain for the asymptotic variance can be interpreted in terms of colliding Markov chains, enabling analytic and numerical evaluations of how the asymptotic variance behaves over time, with comparison to a benchmark algorithm consisting of $m$ independent particle filters. We prove that subject to regularity conditions, when $m$ is fixed both algorithms converge time-uniformly at rate $M^{-1/2}$. Through use of our asymptotic variance formula we give counter-examples satisfying the same regularity conditions to show that when $M$ is fixed neither algorithm, in general, converges time-uniformly at rate $m^{-1/2}$.

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Kari Heine, Nick Whiteley. 2015-05-10. Fluctuations, stability and instability of a distributed particle filter with local exchange. https://arxiv.org/abs/1505.02390

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