Descripción
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Monte Carlo methods, such as Markov chain Monte Carlo (MCMC) algorithms, have become very popular in signal processing over the last years. In this work, we introduce a novel MCMC scheme where parallel MCMC chains interact, adapting cooperatively the parameters of their proposal functions. Furthermore, the novel algorithm distributes the computational effort adaptively, rewarding the chains which are providing better performance and, possibly even stopping other ones. These extinct chains can be reactivated if the algorithm considers it necessary. Numerical simulations show the benefits of the novel scheme. | |
Internacional
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Si |
Nombre congreso
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2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) |
Tipo de participación
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960 |
Lugar del congreso
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Shanghai (China) |
Revisores
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Si |
ISBN o ISSN
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978-1-4799-9988-0 |
DOI
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10.1109/ICASSP.2016.7472423 |
Fecha inicio congreso
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20/03/2016 |
Fecha fin congreso
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25/03/2016 |
Desde la página
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3974 |
Hasta la página
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3978 |
Título de las actas
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Proceedings of the 2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) |