Independent doubly Adaptive Rejection Metropolis Sampling

Luca Martino; Jesse Read; David Luengo

doi:10.1109/ICASSP.2014.6855158

Independent doubly Adaptive Rejection Metropolis Sampling

Luca Martino
, Jesse Read
, David Luengo

Department of Mathematics and Statistics
University of Helsinki
Universidad Carlos III de Madrid
Dept. of Circuits and Systems Engineering
Universidad Politécnica de Madrid

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

13 Citations (Scopus)

Abstract

Adaptive Rejection Metropolis Sampling (ARMS) is a well-known MCMC scheme for generating samples from one-dimensional target distributions. ARMS is widely used within Gibbs sampling, where automatic and fast samplers are often needed to draw from univariate full-conditional densities. In this work, we propose an alternative adaptive algorithm (IA²RMS) that overcomes the main drawback of ARMS (an uncomplete adaptation of the proposal in some cases), speeding up the convergence of the chain to the target. Numerical results show that IA²RMS outperforms the standard ARMS, providing a correlation among samples close to zero.

Original language	English
Title of host publication	2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	7998-8002
Number of pages	5
ISBN (Print)	9781479928927
DOIs	https://doi.org/10.1109/ICASSP.2014.6855158
Publication status	Published - 1 Jan 2014
Externally published	Yes
Event	2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014 - Florence, Italy Duration: 4 May 2014 → 9 May 2014

Publication series

Name	ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)	1520-6149

Conference

Conference	2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014
Country/Territory	Italy
City	Florence
Period	4/05/14 → 9/05/14

Keywords

Gibbs sampler
Monte Carlo methods
adaptive rejection Metropolis sampling (ARMS)

Access to Document

10.1109/ICASSP.2014.6855158

Cite this

Martino, L., Read, J., & Luengo, D. (2014). Independent doubly Adaptive Rejection Metropolis Sampling. In 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014 (pp. 7998-8002). Article 6855158 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICASSP.2014.6855158

Martino, Luca ; Read, Jesse ; Luengo, David. / Independent doubly Adaptive Rejection Metropolis Sampling. 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014. Institute of Electrical and Electronics Engineers Inc., 2014. pp. 7998-8002 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings).

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title = "Independent doubly Adaptive Rejection Metropolis Sampling",

abstract = "Adaptive Rejection Metropolis Sampling (ARMS) is a well-known MCMC scheme for generating samples from one-dimensional target distributions. ARMS is widely used within Gibbs sampling, where automatic and fast samplers are often needed to draw from univariate full-conditional densities. In this work, we propose an alternative adaptive algorithm (IA2RMS) that overcomes the main drawback of ARMS (an uncomplete adaptation of the proposal in some cases), speeding up the convergence of the chain to the target. Numerical results show that IA2RMS outperforms the standard ARMS, providing a correlation among samples close to zero.",

keywords = "Gibbs sampler, Monte Carlo methods, adaptive rejection Metropolis sampling (ARMS)",

author = "Luca Martino and Jesse Read and David Luengo",

year = "2014",

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doi = "10.1109/ICASSP.2014.6855158",

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booktitle = "2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014",

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Martino, L, Read, J & Luengo, D 2014, Independent doubly Adaptive Rejection Metropolis Sampling. in 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014., 6855158, ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings, Institute of Electrical and Electronics Engineers Inc., pp. 7998-8002, 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014, Florence, Italy, 4/05/14. https://doi.org/10.1109/ICASSP.2014.6855158

Independent doubly Adaptive Rejection Metropolis Sampling. / Martino, Luca; Read, Jesse; Luengo, David.
2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014. Institute of Electrical and Electronics Engineers Inc., 2014. p. 7998-8002 6855158 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Martino, Luca

AU - Read, Jesse

AU - Luengo, David

PY - 2014/1/1

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N2 - Adaptive Rejection Metropolis Sampling (ARMS) is a well-known MCMC scheme for generating samples from one-dimensional target distributions. ARMS is widely used within Gibbs sampling, where automatic and fast samplers are often needed to draw from univariate full-conditional densities. In this work, we propose an alternative adaptive algorithm (IA2RMS) that overcomes the main drawback of ARMS (an uncomplete adaptation of the proposal in some cases), speeding up the convergence of the chain to the target. Numerical results show that IA2RMS outperforms the standard ARMS, providing a correlation among samples close to zero.

AB - Adaptive Rejection Metropolis Sampling (ARMS) is a well-known MCMC scheme for generating samples from one-dimensional target distributions. ARMS is widely used within Gibbs sampling, where automatic and fast samplers are often needed to draw from univariate full-conditional densities. In this work, we propose an alternative adaptive algorithm (IA2RMS) that overcomes the main drawback of ARMS (an uncomplete adaptation of the proposal in some cases), speeding up the convergence of the chain to the target. Numerical results show that IA2RMS outperforms the standard ARMS, providing a correlation among samples close to zero.

KW - Gibbs sampler

KW - Monte Carlo methods

KW - adaptive rejection Metropolis sampling (ARMS)

U2 - 10.1109/ICASSP.2014.6855158

DO - 10.1109/ICASSP.2014.6855158

M3 - Conference contribution

AN - SCOPUS:84905269281

SN - 9781479928927

T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

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BT - 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014

Y2 - 4 May 2014 through 9 May 2014

ER -

Martino L, Read J, Luengo D. Independent doubly Adaptive Rejection Metropolis Sampling. In 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2014. Institute of Electrical and Electronics Engineers Inc. 2014. p. 7998-8002. 6855158. (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). doi: 10.1109/ICASSP.2014.6855158

Independent doubly Adaptive Rejection Metropolis Sampling

Abstract

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Keywords

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