Annealed SMC samplers for Dirichlet process mixture models

In this work we propose a novel algorithm that approximates sequentially the Dirichlet Process Mixtures (DPM) model posterior. The proposed method takes advantage of the Sequential Monte Carlo (SMC) samplers framework to design an effective annealing procedure that prevents the algorithm to get trapped in a local mode. We evaluate the performance in a Bayesian density estimation problem with unknown number of components. The simulation results suggest that the proposed algorithm represents the target posterior much more accurately and provides significantly smaller Monte Carlo error when compared to particle filtering.