A gradient adaptive population importance sampler
Víctor Elvira, Luca Martino, David Luengo, Jukka Corander
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.
BibTeX
@inproceedings{icassp2015_agradientadaptiv,
title = {A gradient adaptive population importance sampler},
author = {Víctor Elvira and Luca Martino and David Luengo and Jukka Corander},
booktitle = {ICASSP 2015},
year = {2015}
}