Particle Metropolis-Hastings using gradient and Hessian information
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Publication:5963543
Abstract: Particle Metropolis-Hastings (PMH) allows for Bayesian parameter inference in nonlinear state space models by combining Markov chain Monte Carlo (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 a number of 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.
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Cited in
(12)- Introduction to ``Particle Metropolis-Hastings using gradient and Hessian information by J. Dahlin, F. Lindsten, T. Schön
- On disturbance state-space models and the particle marginal Metropolis-Hastings sampler
- On particle methods for parameter estimation in state-space models
- Augmentation schemes for particle MCMC
- Regularized zero-variance control variates
- Particle Metropolis-Hastings using gradient and Hessian information
- A rare event approach to high-dimensional approximate Bayesian computation
- A flexible particle Markov chain Monte Carlo method
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- A point mass proposal method for Bayesian state-space model fitting
- A second-order iterated smoothing algorithm
- Discrete gradients for computational Bayesian inference
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