An adaptive population importance sampler

Luengo García, David and Martino, Luca and Elvira Arregui, Víctor and Corander, Jukka (2014). An adaptive population importance sampler. 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. 8038-8042.

Description

Title: An adaptive population importance sampler
Author/s:
  • Luengo García, David
  • Martino, Luca
  • Elvira Arregui, Víctor
  • Corander, Jukka
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, adaptive importance sampling, population Monte Carlo, iterative estimation
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

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Abstract

Monte Carlo (MC) methods are widely used in signal processing, machine learning and communications for statistical inference and stochastic optimization. A well-known class of MC methods is composed of importance sampling and its adaptive extensions (e.g., population Monte Carlo). In this work, we introduce an adaptive importance sampler using a population of proposal densities. The novel algorithm provides a global estimation of the variables of interest iteratively, using all the samples generated. The cloud of proposals is adapted by learning from a subset of previously generated samples, in such a way that local features of the target density can be better taken into account compared to single global adaptation procedures. Numerical results show the advantages of the proposed sampling scheme in terms of mean absolute error and robustness to initialization.

Funding Projects

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

More information

Item ID: 36433
DC Identifier: http://oa.upm.es/36433/
OAI Identifier: oai:oa.upm.es:36433
Official URL: http://www.icassp2014.org/home.html
Deposited by: Memoria Investigacion
Deposited on: 23 Feb 2016 20:23
Last Modified: 28 Mar 2016 18:10
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