Efficient sampling of conditioned Markov jump processes

Golightly, Andrew and Sherlock, Christopher Gerrard (2019) Efficient sampling of conditioned Markov jump processes. Statistics and Computing. ISSN 0960-3174

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Abstract

We consider the task of generating draws from a Markov jump process (MJP) between two time-points at which the process is known. Resulting draws are typically termed bridges and the generation of such bridges plays a key role in simulation-based inference algorithms for MJPs. The problem is challenging due to the intractability of the conditioned process, necessitating the use of computationally intensive methods such as weighted resampling or Markov chain Monte Carlo. An efficient implementation of such schemes requires an approximation of the intractable conditioned hazard/propensity function that is both cheap and accurate. In this paper, we review some existing approaches to this problem before outlining our novel contribution. Essentially, we leverage the tractability of a Gaussian approximation of the MJP and suggest a computationally efficient implementation of the resulting conditioned hazard approximation. We compare and contrast our approach with existing methods using three examples.

Item Type:
Journal Article
Journal or Publication Title:
Statistics and Computing
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
131500
Deposited By:
Deposited On:
19 Feb 2019 16:25
Refereed?:
Yes
Published?:
Published
Last Modified:
05 Apr 2020 05:29