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Group Importance Sampling for particle filtering and MCMC

Abstract · Apr 10, 2017 09:20 ·

importance-sampling monte-carlo markov-chain stat-co cs-ce cs-lg stat-me stat-ml

Arxiv Abstract

  • L. Martino
  • V. Elvira
  • G. Camps-Valls

Importance Sampling (IS) is a well-known Monte Carlo technique that approximates integrals involving a posterior distribution by means of weighted samples. In this work, we study the assignation of a single weighted sample which compresses the information contained in a population of weighted samples. Part of the theory that we present as Group Importance Sampling (GIS) has been employed implicitly in different works in the literature. The provided analysis yields several theoretical and practical consequences. For instance, we discuss the application of GIS into the Sequential Importance Resampling (SIR) framework and show that Independent Multiple Try Metropolis (I-MTM) schemes can be interpreted as a standard Metropolis-Hastings algorithm, following the GIS approach. We also introduce two novel Markov Chain Monte Carlo (MCMC) techniques based on GIS. The first one, named Group Metropolis Sampling (GMS) method, produces a Markov chain of sets of weighted samples. All these sets are then employed for obtaining a unique global estimator. The second one is the Distributed Particle Metropolis-Hastings (DPMH) technique, where different parallel particle filters are jointly used to drive an MCMC algorithm. Different resampled trajectories are compared and then tested with a proper acceptance probability. The novel schemes are tested in different numerical experiments such as learning the hyperparameters of Gaussian Processes (GP), the localization problem in a sensor network and the tracking of the Leaf Area Index (LAI), where they are compared with several benchmark Monte Carlo techniques. Three descriptive Matlab demos are also provided.

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