onr:"swepub:oai:DiVA.org:liu-106749"
Search: onr:"swepub:oai:DiVA.org:liu-106749" > Particle Metropolis...
- 1 of 1
- Previous record
- Next record
- To hitlist
Particle Metropolis-Hastings using gradient and Hessian information
-
- Dahlin, Johan, 1986- (author)
- Linköpings universitet,Reglerteknik,Tekniska högskolan
-
- Lindsten, Fredrik (author)
- Linköpings universitet,Reglerteknik,Tekniska högskolan
-
- Schön, Thomas, 1977- (author)
- Uppsala universitet,Avdelningen för systemteknik,Reglerteknik,Dept. of Information Technology, Uppsala University, Uppsala, Sweden
- (creator_code:org_t)
- 2014-09-20
- 2015
- English.
- In: Statistics and computing. - : Springer. - 0960-3174 .- 1573-1375. ; 25:1, s. 81-92
- Journal article (peer-reviewed)
Abstract
Subject headings
Close
- 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.
Subject headings
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Automatic control
- Reglerteknik
Publication and Content Type
- ref (subject category)
- art (subject category)
Find in a library
- Statistics and computing (Search for host publication in LIBRIS)
To the university's database
- 1 of 1
- Previous record
- Next record
- To hitlist
Find more in SwePub
- By the author/editor
- Dahlin, Johan, 1 ...
- Lindsten, Fredri ...
- Schön, Thomas, 1 ...
- About the subject
-
- ENGINEERING AND TECHNOLOGY
- ENGINEERING AND ...
- and Electrical Engin ...
- and Control Engineer ...
-
- ENGINEERING AND TECHNOLOGY
- ENGINEERING AND ...
- and Electrical Engin ...
- and Signal Processin ...
-
- NATURAL SCIENCES
- NATURAL SCIENCES
- and Mathematics
- and Probability Theo ...
- Articles in the publication
- Statistics and c ...
- By the university
- Linköping University
- Uppsala University
Search outside SwePub
- Extend your search to:
- Google Book Search
- Google Scholar
Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.
- Copyright © LIBRIS - National Library Systems
- LIBRIS.kb.se
