Compressed Monte Carlo with application in particle filtering

DOI10.1016/J.INS.2020.10.022MaRDI QIDQ2123565zbMATH OpenOpenAlexFDO

Authors Víctor Elvira, Luca Martino

Publication date 14 April 2022

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.08459

zbMATH Keywords

Bayesian inferencedistributed algorithmsGaussian quadratureherding algorithmsimportance samplingMCMCparticle filteringsigma points

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05)

Abstract: Bayesian models have become very popular over the last years in several fields such as signal processing, statistics, and machine learning. Bayesian inference requires the approximation of complicated integrals involving posterior distributions. For this purpose, Monte Carlo (MC) methods, such as Markov Chain Monte Carlo and importance sampling algorithms, are often employed. In this work, we introduce the theory and practice of a Compressed MC (C-MC) scheme to compress the statistical information contained in a set of random samples. In its basic version, C-MC is strictly related to the stratification technique, a well-known method used for variance reduction purposes. Deterministic C-MC schemes are also presented, which provide very good performance. The compression problem is strictly related to the moment matching approach applied in different filtering techniques, usually called as Gaussian quadrature rules or sigma-point methods. C-MC can be employed in a distributed Bayesian inference framework when cheap and fast communications with a central processor are required. Furthermore, C-MC is useful within particle filtering and adaptive IS algorithms, as shown by three novel schemes introduced in this work. Six numerical results confirm the benefits of the introduced schemes, outperforming the corresponding benchmark methods. A related code is also provided.

Recommendations

• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• scientific article; zbMATH DE number 6469926
• Particle Markov Chain Monte Carlo Methods
• Particle filters
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference

Cites work

• A multi-point Metropolis scheme with generic weight functions
• A Numerical-Integration Perspective on Gaussian Filters
• Bayesian filtering and smoothing
• Consensus-based Distributed Particle Filtering With Distributed Proposal Adaptation
• Cubature Kalman Filters
• Gaussian particle filtering
• Gaussian sum particle filtering
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• Layered adaptive importance sampling
• Minimax and maximin space-filling designs: some properties and methods for construction
• On parallel implementation of sequential Monte Carlo methods: the island particle model
• Resampling algorithms and architectures for distributed particle filters
• Sequential Monte Carlo Methods in Practice
• Sequential quasi Monte Carlo. With discussion and authors' reply
• Set-Membership Constrained Particle Filter: Distributed Adaptation for Sensor Networks
• Variance Reduction Techniques for Digital Simulation

Cited in

(7)

• MCMC-driven importance samplers
• Marginal Likelihood Computation for Model Selection and Hypothesis Testing: An Extensive Review
• Toward Bayesian Data Compression
• Rethinking the Effective Sample Size
• A novel system identification algorithm for nonlinear Markov jump system
• Effective parameter space compression for Bayesian adaptive estimation
• Adaptive posterior distributions for uncertainty analysis of covariance matrices in Bayesian inversion problems for multioutput signals

This page was built for publication: Compressed Monte Carlo with application in particle filtering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2123565)