A Data Augmentation Approach for Sampling Gaussian Models in High Dimension

International audienceRecently, methods based on Data Augmentation (DA) strategies have shown their efficiency for dealing with high-dimensional Gaussian sampling within Gibbs samplers compared to iterative-based sampling (e.g., Perturbation-Optimization). However, they are limited by the feasibility of the direct sampling of the auxiliary variable. This paper reviews DA sampling algorithms for Gaussian sampling and proposes a DA method which is especially useful when direct sampling of the auxiliary variable is not straightforward from a computational viewpoint. Experiments in two vibration analysis applications show the good performance of the proposed algorithm