Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Bayesian learning of probability density functions: A Markov chain Monte Carlo approach
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
2012 (English)In: Decision and Control (CDC), 2012 IEEE 51st Annual Conference on, IEEE , 2012, 1512-1517 p.Conference paper, Published paper (Refereed)
Abstract [en]

The paper considers the problem of reconstructing a probability density function from a finite set of samples independently drawn from it.We cast the problem in a Bayesian setting where the unknown density is modeled via a nonlinear transformation of a Bayesian prior placed on a Reproducing Kernel Hilbert Space. The learning of the unknown density function is then formulated as a minimum variance estimation problem. Since this requires the solution of analytically intractable integrals, we solve this problem by proposing a novel algorithm based on the Markov chain Monte Carlo framework. Simulations are used to corroborate the goodness of the new approach.

Place, publisher, year, edition, pages
IEEE , 2012. 1512-1517 p.
Series
Proceedings of the IEEE Conference on Decision and Control, ISSN 0191-2216
Keyword [en]
Metropolis-Hastings algorithm, regularization parameter, Reproducing Kernel Hilbert Spaces, stochastic processes, stochastic regularization
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-119170DOI: 10.1109/CDC.2012.6426785Scopus ID: 2-s2.0-84874274846OAI: oai:DiVA.org:kth-119170DiVA: diva2:610327
Conference
51st IEEE Conference on Decision and Control, CDC 2012, 10 December 2012 through 13 December 2012, Maui, HI
Funder
EU, FP7, Seventh Framework Programme, FP7/2007-2013
Note

QC 20130311

Available from: 2013-03-11 Created: 2013-03-08 Last updated: 2013-03-11Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopus

Search in DiVA

By author/editor
Varagnolo, Damiano
By organisation
Automatic ControlACCESS Linnaeus Centre
Engineering and Technology

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 33 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf