2016
DOI: 10.1109/jstsp.2015.2496908
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A Survey of Stochastic Simulation and Optimization Methods in Signal Processing

Abstract: International audienceModern signal processing (SP) methods rely very heavily on probability and statistics to solve challenging SP problems. SP methods are now expected to deal with ever more complex models, requiring ever more sophisticated computational inference techniques. This has driven the development of statistical SP methods based on stochastic simulation and optimization. Stochastic simulation and optimization algorithms are computationally intensive tools for performing statistical inference in mod… Show more

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Cited by 119 publications
(126 citation statements)
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“…The corresponding values of this regularization parameter are reported in Table I. At this point, it is worth mentioning that it would be interesting to consider approaches based on Bayesian inference [63] or on the Stein's unbiased risk estimate (SURE) [64] to estimate this regularization parameter. However, theses approaches are out of the scope of this paper.…”
Section: Dictionary Learning and Regularization Parametersmentioning
confidence: 99%
“…The corresponding values of this regularization parameter are reported in Table I. At this point, it is worth mentioning that it would be interesting to consider approaches based on Bayesian inference [63] or on the Stein's unbiased risk estimate (SURE) [64] to estimate this regularization parameter. However, theses approaches are out of the scope of this paper.…”
Section: Dictionary Learning and Regularization Parametersmentioning
confidence: 99%
“…Let γ > 0 and Q ∈ S n . Following [15], we replace π by its Moreau approximation π Q γ defined in (11) and recalled below,…”
Section: B Approximation Of the Target Diffusionmentioning
confidence: 99%
“…Stochastic optimization: SO uses random variables with random iterates to accelerate search [260]. It can solve both stochastic optimization problems and deterministic optimization problems.…”
Section: Optimizationmentioning
confidence: 99%