2018
Martino, Luca; Elvira, Victor; Miguez, Joaquín; Artés-Rodríguez, Antonio; Djuric, Petar M
A Comparison Of Clipping Strategies For Importance Sampling Proceedings Article
En: 2018 IEEE Statistical Signal Processing Workshop (SSP), 2018.
Enlaces | BibTeX | Etiquetas: Bayesian inference, Importance sampling, Monte Carlo methods, Parameter estimation, Variance Reduction methods
@inproceedings{JMiguez18d,
title = {A Comparison Of Clipping Strategies For Importance Sampling},
author = {Luca Martino and Victor Elvira and Joaqu\'{i}n Miguez and Antonio Art\'{e}s-Rodr\'{i}guez and Petar M Djuric},
doi = {10.1109/SSP.2018.8450722},
year = {2018},
date = {2018-06-10},
booktitle = {2018 IEEE Statistical Signal Processing Workshop (SSP)},
keywords = {Bayesian inference, Importance sampling, Monte Carlo methods, Parameter estimation, Variance Reduction methods},
pubstate = {published},
tppubtype = {inproceedings}
}
2015
Martino, Luca; Elvira, Victor; Luengo, David; Artés-Rodríguez, Antonio; Corander, Jukka
Smelly Parallel MCMC Chains Proceedings Article
En: 2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), pp. 4070–4074, IEEE, Brisbane, 2015, ISBN: 978-1-4673-6997-8.
Resumen | Enlaces | BibTeX | Etiquetas: Bayesian inference, learning (artificial intelligence), Machine learning, Markov chain Monte Carlo, Markov chain Monte Carlo algorithms, Markov processes, MC methods, MCMC algorithms, MCMC scheme, mean square error, mean square error methods, Monte Carlo methods, optimisation, parallel and interacting chains, Probability density function, Proposals, robustness, Sampling methods, Signal processing, Signal processing algorithms, signal sampling, smelly parallel chains, smelly parallel MCMC chains, Stochastic optimization
@inproceedings{Martino2015a,
title = {Smelly Parallel MCMC Chains},
author = {Luca Martino and Victor Elvira and David Luengo and Antonio Art\'{e}s-Rodr\'{i}guez and Jukka Corander},
url = {http://ieeexplore.ieee.org/lpdocs/epic03/wrapper.htm?arnumber=7178736 http://www.tsc.uc3m.es/~velvira/papers/ICASSP2015_martino.pdf},
doi = {10.1109/ICASSP.2015.7178736},
isbn = {978-1-4673-6997-8},
year = {2015},
date = {2015-04-01},
booktitle = {2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)},
pages = {4070--4074},
publisher = {IEEE},
address = {Brisbane},
abstract = {Monte Carlo (MC) methods are useful tools for Bayesian inference and stochastic optimization that have been widely applied in signal processing and machine learning. 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, thus yielding a faster exploration of the state space. The interaction is carried out generating a dynamic repulsion among the “smelly” parallel chains that takes into account the entire population of current states. The ergodicity of the scheme and its relationship with other sampling methods are discussed. Numerical results show the advantages of the proposed approach in terms of mean square error, robustness w.r.t. to initial values and parameter choice.},
keywords = {Bayesian inference, learning (artificial intelligence), Machine learning, Markov chain Monte Carlo, Markov chain Monte Carlo algorithms, Markov processes, MC methods, MCMC algorithms, MCMC scheme, mean square error, mean square error methods, Monte Carlo methods, optimisation, parallel and interacting chains, Probability density function, Proposals, robustness, Sampling methods, Signal processing, Signal processing algorithms, signal sampling, smelly parallel chains, smelly parallel MCMC chains, Stochastic optimization},
pubstate = {published},
tppubtype = {inproceedings}
}