6533b830fe1ef96bd1296786

RESEARCH PRODUCT

Population Monte Carlo Schemes with Reduced Path Degeneracy

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description

Population Monte Carlo (PMC) algorithms are versatile adaptive tools for approximating moments of complicated distributions. A common problem of PMC algorithms is the so-called path degeneracy; the diversity in the adaptation is endangered due to the resampling step. In this paper we focus on novel population Monte Carlo schemes that present enhanced diversity, compared to the standard approach, while keeping the same implementation structure (sample generation, weighting and resampling). The new schemes combine different weighting and resampling strategies to reduce the path degeneracy and achieve a higher performance at the cost of additional low computational complexity cost. Computer simulations compare the different alternatives in a frequency estimation problem with superimposed sinusoids embedded in Gaussian noise.