IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Free Energy Sequential Monte Carlo Application to Mixture Modelling

Listed author(s):
  • Nicolas Chopin


  • Pierre Jacob


We introduce a new class of Sequential Monte Carlo (SMC) methods, whichwe call free energy SMC. This class is inspired by free energy methods, whichoriginate from Physics, and where one samples from a biased distribution suchthat a given function !(") of the state " is forced to be uniformly distributedover a given interval. From an initial sequence of distributions (#t) of interest,and a particular choice of !("), a free energy SMC sampler computes sequentiallya sequence of biased distributions (˜#t) with the following properties: (a)the marginal distribution of !(") with respect to ˜#t is approximatively uniformover a specified interval, and (b) ˜#t and #t have the same conditional distributionwith respect to !. We apply our methodology to mixture posteriordistributions, which are highly multimodal. In the mixture context, forcingcertain hyper-parameters to higher values greatly faciliates mode swapping,and makes it possible to recover a symetric output. We illustrate our approachwith univariate and bivariate Gaussian mixtures and two real-world datasets.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: Crest working paper version
Download Restriction: no

Paper provided by Center for Research in Economics and Statistics in its series Working Papers with number 2010-34.

in new window

Length: 20
Date of creation: 2010
Handle: RePEc:crs:wpaper:2010-34
Contact details of provider: Postal:
Bâtiment ENSAE, 5 rue Henry LE Chatelier, 91120 Palaiseau

Phone: 01 41 17 60 81
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2010-34. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sri Srikandan)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.