A sequential particle algorithm that keeps the particle system alive

作者： François LeGland , Nadia Oudjane

DOI: 10.1007/11587392_11

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摘要: We consider the problem of approximating a nonlinear (unnormalized) Feynman-Kac flow, in special case where selection functions can take zero value. begin with list several important practical situations this characteristics is present. study next sequential particle algorithm, proposed by Oudjane (2000), which guarantees that system does not die. Among other results, we obtain central limit theorem relies on result Renyi (1957) for sum random number independent variables.

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