Estimating Multi-chirp Parameters using Curvature-guided Langevin Monte Carlo
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Abstract (arXiv)
This paper considers the problem of estimating chirp parameters from a noisy mixture of chirps. While a rich body of work exists in this area, challenges remain when extending these techniques to chirps of higher order polynomials. We formulate this as a non-convex optimization problem and propose a modified Langevin Monte Carlo (LMC) sampler that exploits the average curvature of the objective function to reliably find the minimizer. Results show that our Curvature-guided LMC (CG-LMC) algorithm is robust and succeeds even in low SNR regimes, making it viable for practical applications.
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References · 10
- 2019Generative Modeling by Estimating Gradients of the Data Distributioncited by 4,067
- 2016Optimization Methods for Large-Scale Machine Learningcited by 1,140
- 2017Non-convex learning via Stochastic Gradient Langevin Dynamics: a nonasymptotic analysiscited by 242
- 2017Global Convergence of Langevin Dynamics Based Algorithms for Nonconvex Optimizationcited by 96
- 2018Sampling Can Be Faster Than Optimizationcited by 68
- 2017Beyond Log-concavity: Provable Guarantees for Sampling Multi-modal Distributions using Simulated Tempering Langevin Monte Carlocited by 33
- 2019Langevin Monte Carlo without smoothnesscited by 27
- 2021A Survey of Monte Carlo Methods for Parameter Estimationcited by 23
- 2022Single Loop Gaussian Homotopy Method for Non-convex Optimizationcited by 15
- 2021Hessian Estimation via Stein's Identity in Black-Box Problemscited by 8
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