0000000000620868

AUTHOR

Roberto Casarin

0000-0003-1746-9190

showing 1 related works from this author

Adaptive independent sticky MCMC algorithms

2018

In this work, we introduce a novel class of adaptive Monte Carlo methods, called adaptive independent sticky MCMC algorithms, for efficient sampling from a generic target probability density function (pdf). The new class of algorithms employs adaptive non-parametric proposal densities which become closer and closer to the target as the number of iterations increases. The proposal pdf is built using interpolation procedures based on a set of support points which is constructed iteratively based on previously drawn samples. The algorithm's efficiency is ensured by a test that controls the evolution of the set of support points. This extra stage controls the computational cost and the converge…

FOS: Computer and information sciencesMathematical optimizationAdaptive Markov chain Monte Carlo (MCMC)Monte Carlo methodBayesian inferenceHASettore SECS-P/05 - Econometrialcsh:TK7800-8360Machine Learning (stat.ML)02 engineering and technologyBayesian inference01 natural sciencesStatistics - Computationlcsh:Telecommunication010104 statistics & probabilitysymbols.namesakeAdaptive Markov chain Monte Carlo (MCMC); Adaptive rejection Metropolis sampling (ARMS); Bayesian inference; Gibbs sampling; Hit and run algorithm; Metropolis-within-Gibbs; Monte Carlo methods; Signal Processing; Hardware and Architecture; Electrical and Electronic EngineeringGibbs samplingStatistics - Machine Learninglcsh:TK5101-67200202 electrical engineering electronic engineering information engineeringComputational statisticsMetropolis-within-GibbsHit and run algorithm0101 mathematicsElectrical and Electronic EngineeringGaussian processComputation (stat.CO)MathematicsSignal processinglcsh:Electronics020206 networking & telecommunicationsMarkov chain Monte CarloMonte Carlo methodsHardware and ArchitectureSignal ProcessingSettore SECS-S/03 - Statistica EconomicasymbolsSettore SECS-S/01 - StatisticaStatistical signal processingGibbs samplingAdaptive rejection Metropolis sampling (ARMS)EURASIP Journal on Advances in Signal Processing
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