Change search
ReferencesLink to record
Permanent link

Direct link
Particle Metropolis Hastings using Langevin Dynamics
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.ORCID iD: 0000-0002-9424-1272
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2013 (English)In: Proceedings of the 38th International Conference on Acoustics, Speech, and Signal Processing, IEEE conference proceedings, 2013, 6308-6312 p.Conference paper (Refereed)
Abstract [en]

Particle Markov Chain Monte Carlo (PMCMC) samplers allow for routine inference of parameters and states in challenging nonlinear problems. A common choice for the parameter proposal is a simple random walk sampler, which can scale poorly with the number of parameters.

In this paper, we propose to use log-likelihood gradients, i.e. the score, in the construction of the proposal, akin to the Langevin Monte Carlo method, but adapted to the PMCMC framework. This can be thought of as a way to guide a random walk proposal by using drift terms that are proportional to the score function. The method is successfully applied to a stochastic volatility model and the drift term exhibits intuitive behaviour.

Place, publisher, year, edition, pages
IEEE conference proceedings, 2013. 6308-6312 p.
Keyword [en]
Bayesian inference, Sequential Monte Carlo, Particle Markov Chain Monte Carlo, Langevin Monte Carlo
National Category
Control Engineering Signal Processing Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-93699DOI: 10.1109/ICASSP.2013.6638879ISI: 000329611506094OAI: oai:DiVA.org:liu-93699DiVA: diva2:626579
Conference
38th International Conference on Acoustics, Speech, and Signal Processing, Vancouver, Canada, 28-31 May, 2013
Projects
CADICS, CNDS
Funder
Swedish Research Council
Available from: 2013-06-10 Created: 2013-06-10 Last updated: 2016-05-04Bibliographically approved

Open Access in DiVA

fulltext(470 kB)850 downloads
File information
File name FULLTEXT01.pdfFile size 470 kBChecksum SHA-512
2cd0cd17957d7c94b7dfb14885ad1a0665ff012b89fdd1563d982ea9c037a562347c812cdfbbcc0806f013ef638f3dfa665008dd27255c63782e146e9557117e
Type fulltextMimetype application/pdf

Other links

Publisher's full text

Search in DiVA

By author/editor
Dahlin, JohanLindsten, FredrikSchön, Thomas
By organisation
Automatic ControlThe Institute of Technology
Control EngineeringSignal ProcessingProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 850 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 213 hits
ReferencesLink to record
Permanent link

Direct link