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Martino, Luca and Elvira Arregui, Víctor and Luengo García, David and Artés Rodríguez, Antonio and Corander, Jukka (2014). Orthogonal MCMC algorithms. In: "2014 IEEE Workshop on Statistical Signal Processing (SSP 14)", 29/06/2014 - 02/07/2014, Gold Coast (Australia). ISBN 978-1-4799-4975-5. pp. 364-367.
Title: | Orthogonal MCMC algorithms |
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Author/s: |
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Item Type: | Presentation at Congress or Conference (Article) |
Event Title: | 2014 IEEE Workshop on Statistical Signal Processing (SSP 14) |
Event Dates: | 29/06/2014 - 02/07/2014 |
Event Location: | Gold Coast (Australia) |
Title of Book: | 2014 IEEE Workshop on Statistical Signal Processing (SSP) |
Date: | 2014 |
ISBN: | 978-1-4799-4975-5 |
Subjects: | |
Freetext Keywords: | Markov Chain Monte Carlo (MCMC), Parallel Chains, Population Monte Carlo, Bayesian inference. |
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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Monte Carlo (MC) methods are widely used in signal processing, machine learning and stochastic optimization. A well-known class of MC methods are Markov Chain Monte Carlo (MCMC) algorithms. In this work, we introduce a novel parallel interacting MCMC scheme, where the parallel chains share information using another MCMC technique working on the entire population of current states. These parallel ?vertical? chains are led by random-walk proposals, whereas the ?horizontal? MCMC uses a independent proposal, which can be easily adapted by making use of all the generated samples. Numerical results show the advantages of the proposed sampling scheme in terms of mean absolute error, as well as robustness w.r.t. to initial values and parameter choice.
Type | Code | Acronym | Leader | Title |
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Government of Spain | COMONSENS (CSD2008-00010) | Unspecified | Unspecified | Unspecified |
Government of Spain | ALCIT (TEC2012-38800-C03-01) | Unspecified | Unspecified | Unspecified |
Government of Spain | DIS- SECT (TEC2012-38058-C03-01) | Unspecified | Unspecified | Unspecified |
Government of Spain | COMPREHENSION (TEC2012-38883- C02-01) | Unspecified | Unspecified | Unspecified |
Item ID: | 36434 |
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DC Identifier: | http://oa.upm.es/36434/ |
OAI Identifier: | oai:oa.upm.es:36434 |
Official URL: | http://www.ee.unimelb.edu.au/SSP2014/ |
Deposited by: | Memoria Investigacion |
Deposited on: | 28 Mar 2016 16:53 |
Last Modified: | 28 Mar 2016 16:53 |