A new technique for sampling multi-modal distributions
From MaRDI portal
Abstract: In this paper we demonstrate that multi-modal Probability Distribution Functions (PDFs) may be efficiently sampled using an algorithm originally developed for numerical integrations by Monte-Carlo methods. This algorithm can be used to generate an input PDF which can be used as an independence sampler in a Metropolis-Hastings chain to sample otherwise troublesome distributions.Some examples in one two and five dimensions are worked out.
Recommendations
- Sampling using a `bank' of clues
- Integration of Multimodal Functions by Monte Carlo Importance Sampling
- Metropolized randomized maximum likelihood for improved sampling from multimodal distributions
- The Metropolis algorithm for on-shell four-momentum phase space
- An extension of alias sampling method for parametrized probability distributions
Cites work
- A new algorithm for adaptive multidimensional integration
- Equation of state calculations by fast computing machines
- Inference from iterative simulation using multiple sequences
- Markov chains for exploring posterior distributions. (With discussion)
- Monte Carlo sampling methods using Markov chains and their applications
- On the Irreducibility of a Markov Chain Defined on a Space of Genotype Configurations by a Sampling Scheme
Cited in
(3)
This page was built for publication: A new technique for sampling multi-modal distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1819014)
