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Adaptive sequential Monte Carlo by means of mixture of experts

Cornebise, J; Moulines, E; Olsson, J; (2011) Adaptive sequential Monte Carlo by means of mixture of experts.

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Abstract

Appropriately designing the proposal kernel of particle filters is an issue of significant importance, since a bad choice may lead to deterioration of the particle sample and, consequently, waste of computational power. In this paper we introduce a novel algorithm adaptively approximating the so-called optimal proposal kernel by a mixture of integrated curved exponential distributions with logistic weights. This family of distributions, referred to as mixtures of experts, is broad enough to be used in the presence of multi-modality or strongly skewed distributions. The mixtures are fitted, via online-EM methods, to the optimal kernel through minimisation of the Kullback-Leibler divergence between the auxiliary target and instrumental distributions of the particle filter. At each iteration of the particle filter, the algorithm is required to solve only a single optimisation problem for the whole particle sample, yielding an algorithm with only linear complexity. In addition, we illustrate in a simulation study how the method can be successfully applied to optimal filtering in nonlinear state-space models.

Type:Article
Title:Adaptive sequential Monte Carlo by means of mixture of experts
Additional information:24 pages, 9 figures, under revision
UCL classification:UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science

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