Variance-decay conjecture for the particle estimator
Variance-decay conjecture for the particle estimator
Let be the single-level estimator, and let denote the particle-system realization. For samples and particles, variance-decay conjecture. The estimator variance satisfies
corresponding to variance of order for the sample average. The conjecture is motivated by observed strong convergence of order rather than the standard order 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).
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