Essential boundedness conjecture for geometric ergodicity of i-cSMC
Essential boundedness conjecture for geometric ergodicity of i-cSMC
Let , let denote the time- marginal of the target distribution, and let be the corresponding potential function. Write for the iterated conditional SMC (i-cSMC) kernel with particles. For a measurable function, - denotes its essential supremum with respect to . Essential boundedness conjecture. If
for some , then the i-cSMC kernel is not geometrically ergodic for any . This conjecture proposes necessity of essential boundedness of the potentials for geometric ergodicity. The paper notes that this conclusion holds in several examples through sticky sets, but does not establish the general claim; hence its status remains open.
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Sources & referencesView supporting material
Primary source
Christophe Andrieu, Anthony Lee and Matti Vihola, “Uniform Ergodicity of the Iterated Conditional SMC and Geometric Ergodicity of Particle Gibbs samplers”, arXiv:1312.6432 (2015).
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