抑制吉布斯耦合器:一种完美的抽样算法及其在截断多元高斯分布中的应用

信号处理 Pub Date : 2001-08-06 DOI:10.1109/SSP.2001.955217

Yufei Huang, T. Ghirmai, P. Djurić

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引用次数: 0

摘要

提出了一种新的基于马尔可夫链的从期望分布中抽取样本的算法。该算法也被称为完美抽样算法，它可以准确地确定马尔可夫链何时进入平衡状态，从而可以输出精确的样本。对于有界多元分布的完美抽样，我们引入了一种称为拒绝吉布斯耦合器的完美抽样算法。我们演示了抑制耦合器在从截断的多元高斯分布中生成样本的应用。

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The rejection Gibbs coupler: A perfect sampling algorithm and its application to truncated multivariate Gaussian distributions

A new Markov chain based algorithm for drawing samples from a desired distribution has been proposed. This algorithm, also known as the perfect sampling algorithm, can determine exactly when a Markov chain enters the equilibrium, and hence can output exact samples. We introduce a perfect sampling algorithm called the rejection Gibbs coupler for perfect sampling from bounded multivariate distributions. We demonstrate an application of the rejection coupler for generation of samples from truncated multivariate Gaussian distributions.

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来源期刊

信号处理

自引率

0.00%

发文量

5812

期刊介绍： Journal of Signal Processing is an academic journal supervised by China Association for Science and Technology and sponsored by China Institute of Electronics. The journal is an academic journal that reflects the latest research results and technological progress in the field of signal processing and related disciplines. It covers academic papers and review articles on new theories, new ideas, and new technologies in the field of signal processing. The journal aims to provide a platform for academic exchanges for scientific researchers and engineering and technical personnel engaged in basic research and applied research in signal processing, thereby promoting the development of information science and technology. At present, the journal has been included in the three major domestic core journal databases "China Science Citation Database (CSCD), China Science and Technology Core Journals (CSTPCD), Chinese Core Journals Overview" and Coaj. It is also included in many foreign databases such as Scopus, CSA, EBSCO host, INSPEC, JST, etc.