Free Energy Sequential Monte Carlo Application to Mixture Modelling

Nicolas Chopin and Pierre Jacob
Additional contact information
Pierre Jacob: Crest

No 2010-34, Working Papers from Center for Research in Economics and Statistics

Abstract: We introduce a new class of Sequential Monte Carlo (SMC) methods, whichwe call free energy SMC. This class is inspired by free energy methods, whichoriginate from Physics, and where one samples from a biased distribution suchthat a given function !(") of the state " is forced to be uniformly distributedover a given interval. From an initial sequence of distributions (#t) of interest,and a particular choice of !("), a free energy SMC sampler computes sequentiallya sequence of biased distributions (˜#t) with the following properties: (a)the marginal distribution of !(") with respect to ˜#t is approximatively uniformover a specified interval, and (b) ˜#t and #t have the same conditional distributionwith respect to !. We apply our methodology to mixture posteriordistributions, which are highly multimodal. In the mixture context, forcingcertain hyper-parameters to higher values greatly faciliates mode swapping,and makes it possible to recover a symetric output. We illustrate our approachwith univariate and bivariate Gaussian mixtures and two real-world datasets.

Pages: 20
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://crest.science/RePEc/wpstorage/2010-34.pdf Crest working paper version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crs:wpaper:2010-34

Access Statistics for this paper

More papers in Working Papers from Center for Research in Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Murielle Jules Maintainer-Email : murielle.jules@ensae.Fr.