An Adaptive Population Importance Sampler: Learning From Uncertainty Articles uri icon

authors

  • MARTINO, LUCA
  • ELVIRA ARREGUI, VICTOR
  • LUENGO GARCIA, DAVID
  • CORANDER, JUKKA

publication date

  • August 2015

start page

  • 4422

end page

  • 4437

issue

  • 16

volume

  • 63

international standard serial number (ISSN)

  • 1053-587X

electronic international standard serial number (EISSN)

  • 1941-0476

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.