Monte carlo methods for signal processing

IEEE Signal Processing Magazine

Volumn 22, Issue 6, 2005, Pages 152-170

  Doucet, Arnaud ^a   Wang, Xiaodong ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85032752363     PISSN: 10535888     EISSN: None     Source Type: Journal    
DOI: 10.1109/MSP.2005.1550195     Document Type: Note

References (55)

1. C. Andrieu and A. Doucet, "Joint Bayesian detection and estimation of noisy sinusoids via reversible jump MCMC," IEEE Trans. Signal Processing, vol. 47, no. 10, pp. 2667-2676, 1999.
2. C. Andrieu, L. Breyer, and A. Doucet, "Convergence of simulated annealing using Foster-Lyapunov criteria," J. Applied Probability, vol. 38, no. 4, pp. 975-994, 2001.
3. C. Andrieu, N. de Freitas, A. Doucet, "Robust full Bayesian learning for radial basis networks," Neural Comput., vol. 13, no. 10, pp. 2359-2407, 2001.
4. C. Andrieu, M. Davy, and A. Doucet, "Efficient particle filters for nonlinear jump Markov systems," IEEE Trans. Signal Processing, vol. 51, no. 7, pp. 1762-1770, 2003.
5. C. Andrieu and A. Doucet, "Particle filtering for partially observed Gaussian state space models," J. Royal Stat. Soc. B, vol. 64, no. 4, pp. 827-836, 2002.
6. C. Andrieu, A. Doucet, S.S. Singh and V.B. Tadic, "Particle methods for change detection, system identification and control," Proc. IEEE, vol. 92, no. 3, pp. 423-438, 2004.
7. J.M. Bernardo and A.F.M. Smith, Bayesian Theory. New York: Wiley, 1995.
8. J. Besag, P.J. Green, D. Higdon, and K. Mengersen, "Bayesian computation and stochastic systems," Stat. Science, vol. 10, pp. 3-66, 1995.
9. C.K. Carter and R. Kohn, "On Gibbs sampling for state space models," Biometrika, vol. 81, no. 3, pp. 541-553, 1994.
10. R. Chen and T. Li, "Blind restoration of linearly degraded discrete signals by Gibbs sampling," IEEE Trans. Signal Processing, vol. 43, no. 10, pp. 2410-2413, 1995.
11. R. Chen and J.S. Liu, "Mixture Kaiman filters," J. Roy. Statist. Soc. B, vol. 62, no. 3, pp. 493-509, 2000.
12. R. Chen, X. Wang, and J.S. Liu, "Adaptive joint detection and decoding in flat-fading channels via mixture Kaiman filtering," IEEE Trans. Inform. Theory, vol. 46, no. 6, pp. 2079-2094, 2000.
13. R. Chen, J.S. Liu, and X. Wang, "Convergence analyses and comparisons of Markov chain Monte Carlo algorithms in digital communications," IEEE Trans. Signal Processing, vol. 50, no. 2, pp. 255-270, 2002.
14. D. Crisan, "Particle filters-A theoretical perspective," in Sequential Monte Carlo Methods in Practice, A. Doucet, J.F.G. de Freitas, and N.J. Gordon, Eds. New York: Springer-Verlag, 2001, pp. 17-38.
15. D. Crisan and A. Doucet, "A survey of theoretical results on particle filtering for practitioners," IEEE Trans. Signal Processing, vol. 50, no. 3, pp. 736-746, 2002.
16. P. Del Moral, Feynman-Kac Formulae: Genealogical and Interacting Particle Systems with Applications. New York: Springer-Verlag, 2004.
17. L. Devroye, Non-Uniform Random Variate Generation. New York: Springer, 1986.
18. P.M. Djuric et al., Particle Filtering, IEEE Signal Processing Mag., vol. 20, no. 5, pp. 19-38, 2003.
19. B. Dong, X. Wang, and A. Doucet. "A new class of soft MIMO demodulation algorithms," IEEE Trans. Signal Processing, vol. 51, no. 11., pp. 2752-2763, 2003.
20. A. Doucet, S.J. Godsill, and C. Andrieu, "On sequential Monte Carlo sampling methods for Bayesian filtering," Statist. Comput., vol. 10, no. 3, pp. 197-208, 2000.
21. A. Doucet, N.J. Gordon, and V. Krishnamurthy, "Particle filters for state estimation of jump Markov linear systems," IEEE Trans. Signal Processing, vol. 49, no. 3, pp. 613-624, 2001.
22. A. Doucet, J.F.G. de Freitas, and N.J. Cordon, Eds., Sequential Monte Carlo Methods in Practice. New York: Springer-Verlag, 2001.
23. A. Doucet, S.J. Godsill, and C.P. Robert, "Marginal maximum a posteriori parameter estimation using Markov chain Monte Carlo methods," Statist. Comput., vol. 12, pp. 77-84, 2002.
24. S. Geman and D. Geman, "Stochastic relaxation, Gibbs distribution and the Bayesian restoration of images," IEEE Trans. Pattern Anal. Machine Intell., vol. 6, no. 11, pp. 721-741, 1994.
25. J. Geweke, "Bayesian inference in econometrics models using Monte Carlo integration," Econometrica, vol. 57, pp. 1317-1339, 1989.
26. C.J. Geyer and E.A. Thompson, "Annealing Markov chain Monte Carlo with applications to ancestral inference," J. Am. Statist. Ass., vol. 90, pp. 909-920, 1995.
27. W.R. Gilks, S. Richardson, and DJ. Spiegelhalter, Eds., Markov Chain Monte Carlo in Practice. London: Chapman & Hall, 1996.
28. N.J. Gordon, D.J. Salmond, and A.F.M. Smith, "Novel approach to nonlinear non-Gaussian Bayesian state estimation," IEE Proc. F, vol. 140, pp. 107-113, 1993.
29. P.J. Green, "Reversible jump MCMC computation and Bayesian model determination," Biometrika, vol. 82, pp. 711-732, 1995.
30. D. Guo and X. Wang, "Bayesian inference of network loss and delay characteristics with applications to TCP performance prediction," IEEE Trans. Signal Processing, vol. 48, no. 7, pp. 2205-2218, 2003.
31. D. Guo and X. Wang, "Blind detection in MIMO systems via sequential Monte Carlo,"IEEE J. Select. Areas Commun., vol. 21, no. 3, pp. 453-464, 2003.
32. D. Guo, X. Wang, and R. Chen, "Wavelet-based sequential Monte Carlo blind receivers in fading channels with unknown channel statistics," IEEE Trans. Signal Processing, vol. 52, no. 1, pp. 227-239, 2004.
33. D. Guo and X. Wang, "Dynamic sensor collaboration via sequential Monte Carlo,"IEEE J. Select. Areas Commun., vol. 22, no. 6, pp. 1037-1047, 2004.
34. W.K. Hastings, "Monte Carlo sampling methods using Markov chains and their applications," Biometrika, vol. 57, pp. 97-109, 1970.
35. G.K. Kaleh and R. Vallet, "Joint parameter estimation and symbol detection for linear and nonlinear unknown channels," IEEE Trans. Commun., vol. 42, no. 11, pp. 2406-2413, 1994.
36. J.S. Liu, Monte Carlo Methods in Scientific Computing. New York: Springer Verlag, 2001.
37. B. Lu and X. Wang, "Bayesian blind turbo receiver for coded OFDM systems with frequency offset and frequency-selective fading," IEEE J. Select. Areas Commun., vol. 19, no. 12, pp. 2516-2527, 2001.
38. J.M. Mendel, Maximum-Likelihood Deconvolution: A Journey into Model-Based Signal Processing. New York: Springer-Verlag, 1990.
39. N. Metropolis, N. Rosenblutt, A.W. Rosenblutt, M.N. Teller, and A.H. Teller, "Equations of state calculations by fast computing machines," J. Chem. Phys., vol. 21, pp. 1087-1092, 1953.
40. S.P. Meyn and R.L. Tweedie, Markov Chains and Stochastic Stability. New York: Springer-Verlag, 1993.
41. V.D. Phan and X. Wang, "Bayesian turbo multiuser detection for nonlinearly modulated CDMA," Signal Processing, vol. 82, no. 1, pp. 42-68, 2002.
42. L.R. Rabiner, "A tutorial on hidden Markov models and selected applications in speech recognition," Proc. IEEE, vol. 77, no. 2, pp. 257-286, 1989.
43. C.P. Robert, The Bayesian Choice. New York: Springer-Verlag, 1996.
44. C.P. Robert and G. Casella, Monte Carlo Statistical Methods. New York: Springer-Verlag, 1999.
45. T. Vercauteren, D. Guo, and X. Wang, "Joint multiple target tracking and classification in collaborative sensor networks," IEEE J. Select. Areas Commun., vol. 23, no. 4, pp. 714-723, 2005.
46. R. van der Merwe, A. Doucet, J.F.G. de Freitas, and E. Wan, "The unscented particle filter,"in Advances in Neural Information Processing Systems 13. Cambridge, MA: MIT Press, 2000.
47. P.J. Van Laarhoven and E.H.L. Arts, Simulated Annealing: Theory and Applications. Amsterdam: Reidel, 1987.
48. B. Vo, S. Singh and A. Doucet, "Sequential Monte Carlo methods for Bayesian multi-target filtering with random finite sets," IEEE Trans. Aerosp. Electron. Syst., to appear in 2005.
49. X. Wang and R. Chen, "Blind turbo equalization in Gaussian and impulsive noise," IEEE Trans. Veh. Technol. vol. 50, no. 4, pp. 1092-1105, 2001.
50. X. Wang, R. Chen, and D. Guo, "Delayed-pilot sampling for mixture Kalman filter with application in fading channels," IEEE Trans. Signal Processing, vol. 50, no. 2, pp. 241-254, 2002.
51. Z. Yang, B. Lu, and X. Wang, "Bayesian Monte Carlo multiuser receiver for space-time coded multi-carrier CDMA systems," IEEE J. Select. Areas Commun., vol. 19, no. 8, pp. 1625-1637, 2001.
52. Z. Yang and X. Wang, "Turbo equalization for GMSK signaling over multipath channels based on the Gibbs sampler," IEEE J. Select. Areas Commun., vol. 19, no. 9, pp. 1753-1763, 2001.
53. Z. Yang and X. Wang, "Blind turbo multiuser detection for long-code multipath CDMA,"IEEE Trans. Commun., vol. 50, no. 9, pp. 112-125, 2002.
54. Z. Yang and X. Wang, "Blind detection of OFDM signals in multipath fading channels via sequential Monte Carlo," IEEE Trans. Signal Processing, vol. 50, no. 2, pp. 271-280, 2002.
55. Z. Yang and X. Wang, "Joint mobility tracking and handoff in cellular networks via sequential Monte Carlo filtering," IEEE Trans. Signal Processing, vol. 51, no. 1, pp. 269-281, 2003.