Annealed SMC Samplers for Nonparametric Bayesian Mixture Models

Ulker Y. , GUNSEL B., Cemgil A. T.

IEEE SIGNAL PROCESSING LETTERS, vol.18, no.1, pp.3-6, 2011 (Journal Indexed in SCI) identifier

  • Publication Type: Article / Article
  • Volume: 18 Issue: 1
  • Publication Date: 2011
  • Doi Number: 10.1109/lsp.2010.2072919
  • Page Numbers: pp.3-6


We develop a novel online algorithm for posterior inference in Dirichlet Process Mixtures (DPM). Our method is based on the Sequential Monte Carlo (SMC) samplers framework that generalizes sequential importance sampling approaches. Unlike the existing methods, the framework enables us to retrospectively update long trajectories in the light of recent observations and this leads to sophisticated clustering update schemes and annealing strategies that seem to prevent the algorithm to get stuck around a local mode. The performance has been evaluated on a Bayesian Gaussian density estimation problem with an unknown number of mixture components. Our simulations suggest that the proposed annealing strategy outperforms conventional samplers. It also provides significantly smaller Monte Carlo standard error with respect to particle filtering given comparable computational resources.