Variational Markov Chain Monte Carlo for Bayesian smoothing of non-linear niffusions

In this paper we develop set of novel Markov chain Monte Carlo algorithms for Bayesian smoothing of partially observed non-linear diffusion processes. The sampling algorithms developed herein use a deterministic approximation to the posterior distribution over paths as the proposal distribution for a mixture of an independence and a random walk sampler. The approximating distribution is sampled by simulating an optimized time-dependent linear diffusion process derived from the recently developed variational Gaussian process approximation method. Flexible blocking strategies are introduced to further improve mixing, and thus the efficiency, of the sampling algorithms. The algorithms are tested on two diffusion processes: one with double-well potential drift and another with SINE drift. The new algorithm's accuracy and efficiency is compared with state-of-the-art hybrid Monte Carlo based path sampling. It is shown that in practical, finite sample, applications the algorithm is accurate except in the presence of large observation errors and low observation densities, which lead to a multi-modal structure in the posterior distribution over paths. More importantly, the variational approximation assisted sampling algorithm outperforms hybrid Monte Carlo in terms of computational efficiency, except when the diffusion process is densely observed with small errors in which case both algorithms are equally efficient.

Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions

In this paper we develop set of novel Markov Chain Monte Carlo algorithms for Bayesian smoothing of partially observed non-linear diffusion processes. The sampling algorithms developed herein use a deterministic approximation to the posterior distribution over paths as the proposal distribution for a mixture of an independence and a random walk sampler. The approximating distribution is sampled by simulating an optimized time-dependent linear diffusion process derived from the recently developed variational Gaussian process approximation method. The novel diffusion bridge proposal derived from the variational approximation allows the use of a flexible blocking strategy that further improves mixing, and thus the efficiency, of the sampling algorithms. The algorithms are tested on two diffusion processes: one with double-well potential drift and another with SINE drift. The new algorithm's accuracy and efficiency is compared with state-of-the-art hybrid Monte Carlo based path sampling. It is shown that in practical, finite sample applications the algorithm is accurate except in the presence of large observation errors and low to a multi-modal structure in the posterior distribution over paths. More importantly, the variational approximation assisted sampling algorithm outperforms hybrid Monte Carlo in terms of computational efficiency, except when the diffusion process is densely observed with small errors in which case both algorithms are equally efficient. © 2011 Springer-Verlag.

Throughput-based rate adaptation algorithm for IEEE 802.11 vehicle networks

A key problem with IEEE 802.11 technology is adaptation of the transmission rates to the changing channel conditions, which is more challenging in vehicular networks. Although rate adaptation problem has been extensively studied for static residential and enterprise network scenarios, there is little work dedicated to the IEEE 802.11 rate adaptation in vehicular networks. Here, the authors are motivated to study the IEEE 802.11 rate adaptation problem in infrastructure-based vehicular networks. First of all, the performances of several existing rate adaptation algorithms under vehicle network scenarios, which have been widely used for static network scenarios, are evaluated. Then, a new rate adaptation algorithm is proposed to improve the network performance. In the new rate adaptation algorithm, the technique of sampling candidate transmission modes is used, and the effective throughput associated with a transmission mode is the metric used to choose among the possible transmission modes. The proposed algorithm is compared to several existing rate adaptation algorithms by simulations, which shows significant performance improvement under various system and channel configurations. An ideal signal-to-noise ratio (SNR)-based rate adaptation algorithm in which accurate channel SNR is assumed to be always available is also implemented for benchmark performance comparison.