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Majorize-Minimize adapted Metropolis-Hastings algorithm. Application to multichannel image recovery
Abstract : One challenging task in MCMC methods is the choice of the proposal density. It should ideally provide an accurate approximation of the target density with a low computational cost. In this paper, we are interested in Langevin diffusion where the proposal accounts for a directional component. We propose a novel method for tuning the related drift term. This term is preconditioned by an adaptive matrix based on a Majorize-Minimize strategy. This new procedure is shown to exhibit a good performance in a multispectral image restoration example.
Cited literature [19 references]
https://hal.archives-ouvertes.fr/hal-01077273
Contributor : Emilie Chouzenoux Connect in order to contact the contributor
Submitted on : Friday, October 24, 2014 - 12:11:10 PM
Last modification on : Saturday, January 15, 2022 - 3:56:51 AM
Long-term archiving on: : Sunday, January 25, 2015 - 10:20:15 AM
Contributor : Emilie Chouzenoux Connect in order to contact the contributor
Submitted on : Friday, October 24, 2014 - 12:11:10 PM
Last modification on : Saturday, January 15, 2022 - 3:56:51 AM
Long-term archiving on: : Sunday, January 25, 2015 - 10:20:15 AM
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eusipco2014C.pdf
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