Parallel metropolis chains with cooperative adaptation

Martino, Luca and Elvira Arregui, Víctor and Luengo García, David and Louzada, Francisco (2016). Parallel metropolis chains with cooperative adaptation. In: "The 41st IEEE International Conference on Acoustics, Speech and Signal Processing", 20/03/2016 - 25/03/2016, Shanghai (China). ISBN 978-1-4799-9988-0. pp. 3974-3978. https://doi.org/10.1109/ICASSP.2016.7472423.

Description

Title: Parallel metropolis chains with cooperative adaptation
Author/s:
  • Martino, Luca
  • Elvira Arregui, Víctor
  • Luengo García, David
  • Louzada, Francisco
Item Type: Presentation at Congress or Conference (Article)
Event Title: The 41st IEEE International Conference on Acoustics, Speech and Signal Processing
Event Dates: 20/03/2016 - 25/03/2016
Event Location: Shanghai (China)
Title of Book: Proceedings of the 2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)
Date: 2016
ISBN: 978-1-4799-9988-0
Subjects:
Freetext Keywords: Bayesian inference, Interacting Parallel MCMC, Adaptive MCMC, cooperative adaptation
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 methods, such as Markov chain Monte Carlo (MCMC) algorithms, have become very popular in signal processing over the last years. In this work, we introduce a novel MCMC scheme where parallel MCMC chains interact, adapting cooperatively the parameters of their proposal functions. Furthermore, the novel algorithm distributes the computational effort adaptively, rewarding the chains which are providing better performance and, possibly even stopping other ones. These extinct chains can be reactivated if the algorithm considers it necessary. Numerical simulations show the benefits of the novel scheme.

Funding Projects

TypeCodeAcronymLeaderTitle
Government of SpainTEC2012-38058-C03-01UnspecifiedUnspecifiedUnspecified

More information

Item ID: 46526
DC Identifier: http://oa.upm.es/46526/
OAI Identifier: oai:oa.upm.es:46526
DOI: 10.1109/ICASSP.2016.7472423
Official URL: http://www.icassp2016.org/default.asp
Deposited by: Memoria Investigacion
Deposited on: 19 Mar 2018 19:00
Last Modified: 19 Mar 2018 20:03
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