Efficient Monte Carlo sampling by parallel marginalization

DOI10.1073/PNAS.0705418104MaRDI QIDQ6478652zbMATH OpenWikidataFDO

Authors Jonathan Weare

Publication date 19 January 2007

Full work available at URL https://doi.org/10.1073/PNAS.0705418104

Mathematics Subject Classification ID

Applications of statistics to physics (62P35) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Abstract: Markov chain Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In this paper a method is proposed to overcome this difficulty. The method utilizes information from rapidly equilibrating coarse Markov chains that sample marginal distributions of the full system. This is accomplished through exchanges between the full chain and the auxiliary coarse chains. Results of numerical tests on the bridge sampling and filtering/smoothing problems for a stochastic differential equation are presented.

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