Variance-decay conjecture for the particle estimator

Let A(M,P,N)\mathcal{A}(M,P,N) be the single-level estimator, and let XNP\bm X_N^P denote the particle-system realization. For MM samples and PP particles, variance-decay conjecture. The estimator variance satisfies

Var[GP(XNP)]P2,\operatorname{Var}\left[G^P\left(\bm X_N^P\right)\right]\lesssim P^{-2},

corresponding to variance of order O(M1P2)\mathcal{O}(M^{-1}P^{-2}) for the sample average. The conjecture is motivated by observed strong convergence of order P1P^{-1} rather than the standard order P1/2P^{-1/2} and by a variance bound in a simplified setting.

Sources & referencesView supporting material

Primary source

Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Raúl Tempone and Leon Wilkosz, “Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC”, arXiv:2409.09821 (2024).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.