Independent doubly Adaptive Rejection Metropolis Sampling

Martino, Luca and Read, Jesse and Luengo García, David (2014). Independent doubly Adaptive Rejection Metropolis Sampling. In: "39th IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)", 4/05/2014 - 9/05/2014, Florencia (Italia). ISBN 978-1-4799-2893-4. pp. 7998-8002.

Description

Title: Independent doubly Adaptive Rejection Metropolis Sampling
Author/s:
  • Martino, Luca
  • Read, Jesse
  • Luengo García, David
Item Type: Presentation at Congress or Conference (Article)
Event Title: 39th IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)
Event Dates: 4/05/2014 - 9/05/2014
Event Location: Florencia (Italia)
Title of Book: 2014 IEEE International Conference on Acoustic, Speech and Signal Processing (ICASSP)
Date: 2014
ISBN: 978-1-4799-2893-4
Subjects:
Freetext Keywords: Monte Carlo methods, Gibbs sampler, adaptive rejection Metropolis sampling (ARMS).
Faculty: E.T.S.I. y Sistemas de Telecomunicación (UPM)
Department: Teoría de la Señal y Comunicaciones
Creative Commons Licenses: Recognition - No derivative works - Non commercial

Full text

[img]
Preview
PDF - Requires a PDF viewer, such as GSview, Xpdf or Adobe Acrobat Reader
Download (557kB) | Preview

Abstract

Adaptive Rejection Metropolis Sampling (ARMS) is a wellknown MCMC scheme for generating samples from onedimensional target distributions. ARMS is widely used within Gibbs sampling, where automatic and fast samplers are often needed to draw from univariate full-conditional densities. In this work, we propose an alternative adaptive algorithm (IA2RMS) that overcomes the main drawback of ARMS (an uncomplete adaptation of the proposal in some cases), speeding up the convergence of the chain to the target. Numerical results show that IA2RMS outperforms the standard ARMS, providing a correlation among samples close to zero.

Funding Projects

TypeCodeAcronymLeaderTitle
Government of SpainCOMONSENS (CSD2008-00010)UnspecifiedUnspecifiedUnspecified
Government of SpainCOMPREHENSION (TEC2012- 38883-C02-01)UnspecifiedUnspecifiedUnspecified
Government of SpainALCIT (TEC2012-38800-C03-01)UnspecifiedUnspecifiedUnspecified
Government of SpainDISSECT (TEC2012-38058-C03-01)UnspecifiedUnspecifiedUnspecified

More information

Item ID: 36432
DC Identifier: http://oa.upm.es/36432/
OAI Identifier: oai:oa.upm.es:36432
Official URL: http://www.icassp2014.org/home.html
Deposited by: Memoria Investigacion
Deposited on: 28 Mar 2016 18:38
Last Modified: 28 Mar 2016 18:38
  • Logo InvestigaM (UPM)
  • Logo GEOUP4
  • Logo Open Access
  • Open Access
  • Logo Sherpa/Romeo
    Check whether the anglo-saxon journal in which you have published an article allows you to also publish it under open access.
  • Logo Dulcinea
    Check whether the spanish journal in which you have published an article allows you to also publish it under open access.
  • Logo de Recolecta
  • Logo del Observatorio I+D+i UPM
  • Logo de OpenCourseWare UPM