Multiple importance sampling with overlapping sets of proposals

Elvira Arregui, Víctor and Martino, Luca and Luengo García, David and Bugallo, Mónica F. (2016). Multiple importance sampling with overlapping sets of proposals. In: "2016 IEEE Workshop on Statistical Signal Processing", 26/06/2016 - 29/06/2016, Palma de Mallorca (España). ISBN 978-1-4673-7802-4. pp. 1-5. https://doi.org/10.1109/SSP.2016.7551744.

Description

Title: Multiple importance sampling with overlapping sets of proposals
Author/s:
  • Elvira Arregui, Víctor
  • Martino, Luca
  • Luengo García, David
  • Bugallo, Mónica F.
Item Type: Presentation at Congress or Conference (Article)
Event Title: 2016 IEEE Workshop on Statistical Signal Processing
Event Dates: 26/06/2016 - 29/06/2016
Event Location: Palma de Mallorca (España)
Title of Book: 2016 IEEE Statistical Signal Processing Workshop (SSP)
Date: 2016
ISBN: 978-1-4673-7802-4
Subjects:
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 (218kB) | Preview

Abstract

In this paper, we introduce multiple importance sampling (MIS) approaches with overlapping (i.e., non-disjoint) sets of proposals. We derive a novel weighting scheme, based on the deterministic mixture methodology, that leads to unbiased estimators. The proposed framework can be seen as a generalization of other well-known MIS algorithms available in the literature. Furthermore, it allows us to achieve any desired trade-off between the variance of the estimators and the computational complexity through the definition of the sets of proposals. Simulations using a bimodal target density show the good performance of the proposed approach.

Funding Projects

TypeCodeAcronymLeaderTitle
Government of SpainTEC2013-41718- ROTOSiSUnspecifiedUnspecified
Government of SpainTEC2012-38058-C03-01DISSECTUnspecifiedUnspecified
Government of SpainTEC2015- 64835-C3-3-RMIMOD-PLCUnspecifiedUnspecified

More information

Item ID: 46528
DC Identifier: http://oa.upm.es/46528/
OAI Identifier: oai:oa.upm.es:46528
DOI: 10.1109/SSP.2016.7551744
Official URL: http://ssp2016.tsc.uc3m.es/
Deposited by: Memoria Investigacion
Deposited on: 01 Feb 2018 19:35
Last Modified: 05 Jun 2019 14:04
  • 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