Statistics and Computing

, Volume 18, Issue 4, pp 447–459

Adaptive importance sampling in general mixture classes

  • Olivier Cappé
  • Randal Douc
  • Arnaud Guillin
  • Jean-Michel Marin
  • Christian P. Robert
Article

DOI: 10.1007/s11222-008-9059-x

Cite this article as:
Cappé, O., Douc, R., Guillin, A. et al. Stat Comput (2008) 18: 447. doi:10.1007/s11222-008-9059-x

Abstract

In this paper, we propose an adaptive algorithm that iteratively updates both the weights and component parameters of a mixture importance sampling density so as to optimise the performance of importance sampling, as measured by an entropy criterion. The method, called M-PMC, is shown to be applicable to a wide class of importance sampling densities, which includes in particular mixtures of multivariate Student t distributions. The performance of the proposed scheme is studied on both artificial and real examples, highlighting in particular the benefit of a novel Rao-Blackwellisation device which can be easily incorporated in the updating scheme.

Keywords

Importance samplingAdaptive Monte CarloMixture modelEntropyKullback-Leibler divergenceEM algorithmPopulation Monte Carlo

Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  • Olivier Cappé
    • 1
  • Randal Douc
    • 2
  • Arnaud Guillin
    • 3
  • Jean-Michel Marin
    • 4
    • 5
  • Christian P. Robert
    • 6
    • 7
  1. 1.LTCITELECOM ParisTech, CNRSParisFrance
  2. 2.TELECOM SudParisÉvryFrance
  3. 3.LATPEcole Centrale Marseille, CNRSMarseilleFrance
  4. 4.Project select, INRIA SaclayOrsayFrance
  5. 5.CREST, INSEEParisFrance
  6. 6.CEREMADEUniversité Paris Dauphine, CNRSParisFrance
  7. 7.CREST, INSEEParisFrance