A Review of Multiple Try MCMC Algorithms for Signal Processing

Authors: Luca Martino

Many applications in signal processing require the estimation of some parameters of interest given a set of observed data. More specifically, Bayesian inference needs the computation of a-posteriori estimators which are often expressed as complicated multi-dimensional integrals. Unfortunately, analytical expressions for these estimators cannot be found in most real-world applications, and Monte Carlo methods are the only feasible approach. A very powerful class of Monte Carlo techniques is formed by the Markov Chain Monte Carlo (MCMC) algorithms. They generate a Markov chain such that its stationary distribution coincides with the target posterior density. In this work, we perform a thorough review of MCMC methods using multiple candidates in order to select the next state of the chain, at each iteration. With respect to the classical Metropolis-Hastings method, the use of multiple try techniques foster the exploration of the sample space. We present different Multiple Try Metropolis schemes, Ensemble MCMC methods, Particle Metropolis-Hastings algorithms and the Delayed Rejection Metropolis technique. We highlight limitations, benefits, connections and dierences among the different methods, and compare them by numerical simulations.

Comments: 46 Pages. (to appear) Digital Signal Processing, 2018.

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Submission history

[v1] 2017-12-07 05:24:57
[v2] 2018-01-13 08:15:36
[v3] 2018-01-13 13:47:16

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