2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information

2021 IEEE International Conference on Acoustics, Speech and Signal Processing

6-11 June 2021 • Toronto, Ontario, Canada

Extracting Knowledge from Information
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Paper Detail

Paper IDSPTM-23.5
Paper Title Adaptive importance sampling via auto-regressive generative models and Gaussian processes
Authors Hechuan Wang, Monica Bugallo, Petar Djuric, Stony Brook University, United States
SessionSPTM-23: Bayesian Signal Processing
LocationGather.Town
Session Time:Friday, 11 June, 14:00 - 14:45
Presentation Time:Friday, 11 June, 14:00 - 14:45
Presentation Poster
Topic Signal Processing Theory and Methods: [SSP] Statistical Signal Processing
IEEE Xplore Open Preview  Click here to view in IEEE Xplore
Abstract The quality of importance distribution is vital to adaptive importance sampling, especially in high dimensional sampling spaces where the target distributions are sparse and hard to approximate. This requires that the proposal distributions are expressive and easily adaptable. Because of the need for weight calculation, point evaluation of the proposal distributions is also needed. The Gaussian process has been proven to be a highly expressive non-parametric model for conditional density estimation whose training process is also straightforward. In this paper, we introduce a class of adaptive importance sampling methods where the proposal distribution is constructed in a way that Gaussian processes are combined autoregressively. By numerical experiments of sampling from a high dimensional target distribution, we demonstrate that the method is accurate and efficient compared to existing methods.