Small-noise analysis and symmetrization of implicit Monte Carlo samplers

Abstract

Implicit samplers are algorithms for producing independent, weighted samples from multi-variate probability distributions. These are often applied in Bayesian data assimilation algorithms. We use Laplace asymptotic expansions to analyze two implicit samplers in the small noise regime. Our analysis suggests a symmetrization of the algo- rithms that leads to improved (implicit) sampling schemes at a rel- atively small additional cost. Computational experiments confirm the theory and show that symmetrization is effective for small noise sampling problems