Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo
From MaRDI portal
Publication:637987
DOI10.1007/s11222-010-9192-1zbMath1223.65001MaRDI QIDQ637987
Yves F. Atchadé, Gareth O. Roberts, Jeffrey S. Rosenthal
Publication date: 8 September 2011
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-010-9192-1
Monte Carlo algorithm; Markov chain; random walk; Metropolis-Hastings algorithm; optimal scaling; simulated tempering
60J22: Computational methods in Markov chains
65C05: Monte Carlo methods
60G50: Sums of independent random variables; random walks
65C40: Numerical analysis or methods applied to Markov chains
Related Items
Optimal Scaling of the Random Walk Metropolis: General Criteria for the 0.234 Acceptance Rule, Automated Redistricting Simulation Using Markov Chain Monte Carlo, Parallel tempering strategies for model-based landmark detection on shapes, Bayesian Imaging with Data-Driven Priors Encoded by Neural Networks, Accelerating parallel tempering: Quantile tempering algorithm (QuanTA), Bayesian computation: a summary of the current state, and samples backwards and forwards, Skew brownian motion and complexity of the alps algorithm, State-dependent swap strategies and automatic reduction of number of temperatures in adaptive parallel tempering algorithm, Kalman filter parameter estimation for a nonlinear diffusion model of epithelial cell migration using stochastic collocation and the Karhunen-Loeve expansion, Convergence of adaptive and interacting Markov chain Monte Carlo algorithms, Interacting multiple try algorithms with different proposal distributions, Parallel tempering with equi-energy moves, Likelihood-free parallel tempering, Adaptive Gibbs samplers and related MCMC methods, Anytime parallel tempering, Minimising the expected commute time, Detection of two-way outliers in multivariate data and application to cheating detection in educational tests, Optimal scaling of random-walk Metropolis algorithms on general target distributions, A framework for adaptive MCMC targeting multimodal distributions, Weight-preserving simulated tempering, Minimising MCMC variance via diffusion limits, with an application to simulated tempering, A Strategy for Bayesian Inference for Computationally Expensive Models with Application to the Estimation of Stem Cell Properties
Cites Work
- Unnamed Item
- Unnamed Item
- Conditions for rapid mixing of parallel and simulated tempering on multimodal distributions
- Sufficient conditions for torpid mixing of parallel and simulated tempering
- Weak convergence and optimal scaling of random walk Metropolis algorithms
- Optimal scaling for various Metropolis-Hastings algorithms.
- An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
- On swapping and simulated tempering algorithms.
- Delayed rejection in reversible jump Metropolis-Hastings
- Does Waste Recycling Really Improve the Multi-Proposal Metropolis–Hastings algorithm? an Analysis Based on Control Variates
- Optimal Scaling of Discrete Approximations to Langevin Diffusions
- On the swapping algorithm
- Analysis of parallel replicated simulations under a completion time constraint
- Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
- Monte Carlo sampling methods using Markov chains and their applications
- A Stochastic Approximation Method