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Fredrik Lindsten, Michael I Jordan, Thomas B Schon

Linköping University; UC Berkeley; Uppsala University

Poster: Ancestor Sampling for Particle Gibbs

7:00pm – 12:00am Wednesday, December 05, 2012

Harrah’s Special Events Center 2nd Floor

This is part of the Poster Session which begins at 19:00 on Wednesday December 5, 2012

W23

We present a novel method in the family of particle MCMC methods that we refer to as particle Gibbs with ancestor sampling (PG-AS). Similarly to the existing PG with backward simulation (PG-BS) procedure, we use backward sampling to (considerably) improve the mixing of the PG kernel. Instead of using separate forward and backward sweeps as in PG-BS, however, we achieve the same effect in a single forward sweep. We apply the PG-AS framework to the challenging class of non-Markovian state-space models. We develop a truncation strategy of these models that is applicable in principle to any backward-simulation-based method, but which is particularly well suited to the PG-AS framework. In particular, as we show in a simulation study, PG-AS can yield an order-of-magnitude improved accuracy relative to PG-BS due to its robustness to the truncation error. Several application examples are discussed, including Rao-Blackwellized particle smoothing and inference in degenerate state-space models.

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