@inproceedings{Elvira2015a,

title = {A Gradient Adaptive Population Importance Sampler},

author = {Victor Elvira and Luca Martino and David Luengo and Jukka Corander},

url = {http://ieeexplore.ieee.org/lpdocs/epic03/wrapper.htm?arnumber=7178737 http://www.tsc.uc3m.es/~velvira/papers/ICASSP2015_elvira.pdf},

doi = {10.1109/ICASSP.2015.7178737},

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 = {4075--4079},

publisher = {IEEE},

address = {Brisbane},

abstract = {Monte Carlo (MC) methods are widely used in signal processing and machine learning. A well-known class of MC methods is composed of importance sampling and its adaptive extensions (e.g., population Monte Carlo). In this paper, we introduce an adaptive importance sampler using a population of proposal densities. The novel algorithm dynamically optimizes the cloud of proposals, adapting them using information about the gradient and Hessian matrix of the target distribution. Moreover, a new kind of interaction in the adaptation of the proposal densities is introduced, establishing a trade-off between attaining a good performance in terms of mean square error and robustness to initialization.},

keywords = {adaptive extensions, adaptive importance sampler, Adaptive importance sampling, gradient adaptive population, gradient matrix, Hamiltonian Monte Carlo, Hessian matrices, Hessian matrix, learning (artificial intelligence), Machine learning, MC methods, Monte Carlo, Monte Carlo methods, population Monte Carlo (PMC), proposal densities, Signal processing, Sociology, statistics, target distribution},

pubstate = {published},

tppubtype = {inproceedings}

}