2015
Elvira, Victor; Martino, Luca; Luengo, David; Bugallo, Monica F
Efficient Multiple Importance Sampling Estimators Artículo de revista
En: IEEE Signal Processing Letters, vol. 22, no 10, pp. 1757–1761, 2015, ISSN: 1070-9908.
Resumen | Enlaces | BibTeX | Etiquetas: Adaptive importance sampling, classical mixture approach, computational complexity, Computational efficiency, Computer Simulation, deterministic mixture, estimation theory, Journal, Monte Carlo methods, multiple importance sampling, multiple importance sampling estimator, partial deterministic mixture MIS estimator, Proposals, signal sampling, Sociology, Standards, variance reduction, weight calculation
@article{Elvira2015bb,
title = {Efficient Multiple Importance Sampling Estimators},
author = {Victor Elvira and Luca Martino and David Luengo and Monica F Bugallo},
url = {http://ieeexplore.ieee.org/articleDetails.jsp?arnumber=7105865},
doi = {10.1109/LSP.2015.2432078},
issn = {1070-9908},
year = {2015},
date = {2015-10-01},
journal = {IEEE Signal Processing Letters},
volume = {22},
number = {10},
pages = {1757--1761},
publisher = {IEEE},
abstract = {Multiple importance sampling (MIS) methods use a set of proposal distributions from which samples are drawn. Each sample is then assigned an importance weight that can be obtained according to different strategies. This work is motivated by the trade-off between variance reduction and computational complexity of the different approaches (classical vs. deterministic mixture) available for the weight calculation. A new method that achieves an efficient compromise between both factors is introduced in this letter. It is based on forming a partition of the set of proposal distributions and computing the weights accordingly. Computer simulations show the excellent performance of the associated partial deterministic mixture MIS estimator.},
keywords = {Adaptive importance sampling, classical mixture approach, computational complexity, Computational efficiency, Computer Simulation, deterministic mixture, estimation theory, Journal, Monte Carlo methods, multiple importance sampling, multiple importance sampling estimator, partial deterministic mixture MIS estimator, Proposals, signal sampling, Sociology, Standards, variance reduction, weight calculation},
pubstate = {published},
tppubtype = {article}
}
Multiple importance sampling (MIS) methods use a set of proposal distributions from which samples are drawn. Each sample is then assigned an importance weight that can be obtained according to different strategies. This work is motivated by the trade-off between variance reduction and computational complexity of the different approaches (classical vs. deterministic mixture) available for the weight calculation. A new method that achieves an efficient compromise between both factors is introduced in this letter. It is based on forming a partition of the set of proposal distributions and computing the weights accordingly. Computer simulations show the excellent performance of the associated partial deterministic mixture MIS estimator.
Martino, Luca; Elvira, Victor; Luengo, David; Corander, Jukka
An Adaptive Population Importance Sampler: Learning From Uncertainty Artículo de revista
En: IEEE Transactions on Signal Processing, vol. 63, no 16, pp. 4422–4437, 2015, ISSN: 1053-587X.
Resumen | Enlaces | BibTeX | Etiquetas: Adaptive importance sampling, adaptive multiple IS, adaptive population importance sampler, AMIS, APIS, Estimation, Importance sampling, IS estimators, iterative estimation, iterative methods, Journal, MC methods, Monte Carlo (MC) methods, Monte Carlo methods, population Monte Carlo, Proposals, Signal processing algorithms, simple temporal adaptation, Sociology, Standards, Wireless sensor network, Wireless Sensor Networks
@article{Martino2015bbb,
title = {An Adaptive Population Importance Sampler: Learning From Uncertainty},
author = {Luca Martino and Victor Elvira and David Luengo and Jukka Corander},
url = {http://ieeexplore.ieee.org/articleDetails.jsp?arnumber=7117437},
doi = {10.1109/TSP.2015.2440215},
issn = {1053-587X},
year = {2015},
date = {2015-08-01},
journal = {IEEE Transactions on Signal Processing},
volume = {63},
number = {16},
pages = {4422--4437},
publisher = {IEEE},
abstract = {Monte Carlo (MC) methods are well-known computational techniques, widely used in different fields such as signal processing, communications and machine learning. An important class of MC methods is composed of importance sampling (IS) and its adaptive extensions, such as population Monte Carlo (PMC) and adaptive multiple IS (AMIS). In this paper, we introduce a novel adaptive and iterated importance sampler using a population of proposal densities. The proposed algorithm, named adaptive population importance sampling (APIS), provides a global estimation of the variables of interest iteratively, making use of all the samples previously generated. APIS combines a sophisticated scheme to build the IS estimators (based on the deterministic mixture approach) with a simple temporal adaptation (based on epochs). In this way, APIS is able to keep all the advantages of both AMIS and PMC, while minimizing their drawbacks. Furthermore, APIS is easily parallelizable. The cloud of proposals is adapted in such a way that local features of the target density can be better taken into account compared to single global adaptation procedures. The result is a fast, simple, robust, and high-performance algorithm applicable to a wide range of problems. Numerical results show the advantages of the proposed sampling scheme in four synthetic examples and a localization problem in a wireless sensor network.},
keywords = {Adaptive importance sampling, adaptive multiple IS, adaptive population importance sampler, AMIS, APIS, Estimation, Importance sampling, IS estimators, iterative estimation, iterative methods, Journal, MC methods, Monte Carlo (MC) methods, Monte Carlo methods, population Monte Carlo, Proposals, Signal processing algorithms, simple temporal adaptation, Sociology, Standards, Wireless sensor network, Wireless Sensor Networks},
pubstate = {published},
tppubtype = {article}
}
Monte Carlo (MC) methods are well-known computational techniques, widely used in different fields such as signal processing, communications and machine learning. An important class of MC methods is composed of importance sampling (IS) and its adaptive extensions, such as population Monte Carlo (PMC) and adaptive multiple IS (AMIS). In this paper, we introduce a novel adaptive and iterated importance sampler using a population of proposal densities. The proposed algorithm, named adaptive population importance sampling (APIS), provides a global estimation of the variables of interest iteratively, making use of all the samples previously generated. APIS combines a sophisticated scheme to build the IS estimators (based on the deterministic mixture approach) with a simple temporal adaptation (based on epochs). In this way, APIS is able to keep all the advantages of both AMIS and PMC, while minimizing their drawbacks. Furthermore, APIS is easily parallelizable. The cloud of proposals is adapted in such a way that local features of the target density can be better taken into account compared to single global adaptation procedures. The result is a fast, simple, robust, and high-performance algorithm applicable to a wide range of problems. Numerical results show the advantages of the proposed sampling scheme in four synthetic examples and a localization problem in a wireless sensor network.