An Adaptive Population Importance Sampler: Learning from Uncertainty

Luca Martino, Víctor Elvira, David Luengo, Jukka Corander

Research output: Contribution to journalArticlepeer-review

Abstract

Monte Carlo (MC) methods are well-known computational techniques, widely used in different fields such as signal processing, communications and machine learning. An important class of MC methods is composed of importance sampling (IS) and its adaptive extensions, such as population Monte Carlo (PMC) and adaptive multiple IS (AMIS). In this paper, we introduce a novel adaptive and iterated importance sampler using a population of proposal densities. The proposed algorithm, named adaptive population importance sampling (APIS), provides a global estimation of the variables of interest iteratively, making use of all the samples previously generated. APIS combines a sophisticated scheme to build the IS estimators (based on the deterministic mixture approach) with a simple temporal adaptation (based on epochs). In this way, APIS is able to keep all the advantages of both AMIS and PMC, while minimizing their drawbacks. Furthermore, APIS is easily parallelizable. The cloud of proposals is adapted in such a way that local features of the target density can be better taken into account compared to single global adaptation procedures. The result is a fast, simple, robust, and high-performance algorithm applicable to a wide range of problems. Numerical results show the advantages of the proposed sampling scheme in four synthetic examples and a localization problem in a wireless sensor network.

Original languageEnglish
Article number7117437
Pages (from-to)4422-4437
Number of pages16
JournalIEEE Transactions on Signal Processing
Volume63
Issue number16
Early online date3 Jun 2015
DOIs
Publication statusPublished - 15 Aug 2015

Keywords

  • Adaptive importance sampling
  • iterative estimation
  • Monte Carlo (MC) methods
  • population Monte Carlo

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