Title :

On variable splitting for Markov chain Monte Carlo

Author(s) :

Vono, Maxime [Auteur]
Signal et Communications [IRIT-SC]
Dobigeon, Nicolas [Auteur]
Signal et Communications [IRIT-SC]
Institut National Polytechnique (Toulouse) [Toulouse INP]
Chainais, Pierre [Auteur]
Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]

Conference title :

Workshop on Signal Processing with Adaptative Sparse Structured Representations (SPARS 2019)

City :

Toulouse

Country :

France

Start date of the conference :

2019-04-01

Book title :

Proceedings of SPARS 2019

Publication date :

2019

English keyword(s) :

Markov chain Monte Carlo(MCMC) algorithms

HAL domain(s) :

Informatique [cs]/Traitement du signal et de l'image [eess.SP]

English abstract : [en]

Variable splitting is an old but widely used technique whichaims at dividing an initial complicated optimization problem into simplersub-problems. In this work, we take inspiration from this variable splitting idea in order ...
Show more >Variable splitting is an old but widely used technique whichaims at dividing an initial complicated optimization problem into simplersub-problems. In this work, we take inspiration from this variable splitting idea in order to build efficient Markov chain Monte Carlo(MCMC) algorithms. Starting from an initial complex target distribution,auxiliary variables are introduced such that the marginal distributionof interest matches the initial one asymptotically. In addition to havetheoretical guarantees, the benefits of such an asymptotically exact dataaugmentation (AXDA) are fourfold: (i) easier-to-sample full conditionaldistributions, (ii) possibility to embed while accelerating state-of-the-artMCMC approaches, (iii) possibility to distribute the inference and (iv)to respect data privacy issues. The proposed approach is illustrated onclassical image processing and statistical learning problems.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Nationale

Popular science :

Non

Collections :

• Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189

Source :

Harvested from HAL