Particle Metropolis-Hastings using gradient and Hessian information
2015 (English)In: Statistics and computing, ISSN 0960-3174, E-ISSN 1573-1375, Vol. 25, no 1, 81-92 p.Article in journal (Other academic) Published
Particle Metropolis-Hastings (PMH) allows for Bayesian parameter inference in nonlinear state space models by combining MCMC and particle filtering. The latter is used to estimate the intractable likelihood. In its original formulation, PMH makes use of a marginal MCMC proposal for the parameters, typically a Gaussian random walk. However, this can lead to a poor exploration of the parameter space and an inefficient use of the generated particles.
We propose two alternative versions of PMH that incorporate gradient and Hessian information about the posterior into the proposal. This information is more or less obtained as a byproduct of the likelihood estimation. Indeed, we show how to estimate the required information using a fixed-lag particle smoother, with a computational cost growing linearly in the number of particles. We conclude that the proposed methods can: (i) decrease the length of the burn-in phase, (ii) increase the mixing of the Markov chain at the stationary phase, and (iii) make the proposal distribution scale invariant which simplifies tuning.
Place, publisher, year, edition, pages
Springer, 2015. Vol. 25, no 1, 81-92 p.
Control Engineering Signal Processing Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:liu:diva-106749DOI: 10.1007/s11222-014-9510-0ISI: 000349028500013OAI: oai:DiVA.org:liu-106749DiVA: diva2:718416
ProjectsProbabilistic modelling of dynamical systems
FunderSwedish Research Council, 621-2013-5524
On the day of the defence date the status of this article was Manuscript.2014-05-212014-05-212016-05-04Bibliographically approved