203 citations · 1.6k across the 78 of their papers we have counts for
7 papers · 1 filter
Generalized Multiple Importance Sampling
Víctor Elvira, Luca Martino, David Luengo +1
Importance Sampling methods are broadly used to approximate posterior distributions or some of their moments. In its standard approach, samples are drawn from a single proposal dis…
Parallel Metropolis chains with cooperative adaptation
L. Martino, V. Elvira, D. Luengo +1
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…
Adapting the Number of Particles in Sequential Monte Carlo Methods through an Online Scheme for Convergence Assessment
Víctor Elvira, Joaquín Míguez, Petar M. Djurić
Particle filters are broadly used to approximate posterior distributions of hidden states in state-space models by means of sets of weighted particles. While the convergence of the…
Orthogonal parallel MCMC methods for sampling and optimization
L. Martino, V. Elvira, D. Luengo +2
Monte Carlo (MC) methods are widely used for Bayesian inference and optimization in statistics, signal processing and machine learning. A well-known class of MC methods are Markov…
Efficient Multiple Importance Sampling Estimators
Víctor Elvira, Luca Martino, David Luengo +1
Multiple importance sampling (MIS) methods use a set of proposal distributions from which samples are drawn. Each sample is then assigned an importance weight that can be obtained…
Layered Adaptive Importance Sampling
L. Martino, V. Elvira, D. Luengo +1
Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizati…
A Probabilistic Least-Mean-Squares Filter
Jesus Fernandez-Bes, Víctor Elvira, Steven Van Vaerenbergh
We introduce a probabilistic approach to the LMS filter. By means of an efficient approximation, this approach provides an adaptable step-size LMS algorithm together with a measure…