Parallel and interacting Markov chain Monte Carlo algorithm (Q730861)
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scientific article
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| English | Parallel and interacting Markov chain Monte Carlo algorithm |
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Parallel and interacting Markov chain Monte Carlo algorithm (English)
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1 October 2009
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The authors ``propose a strategy for making \(N\) parallel Monte Carlo Markov chains (MCMC) interact in order to get an approximation of an independent \(N\)-sample of a given target law.'' More specifically, parallel/interacting Metropolis within Gibbs (MwG) algorithm is considered. It is proved ``that the set of interacting chains is itself a MCMC method for the product of \(N\) target measures''. The parallel/interacting MwG and parallel/independent MwG algorithms are compared by examples.
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Markov chain Monte Carlo method
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interacting chains
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hidden Markov model
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Metropolis within Gibbs algorithm
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0.8300693035125732
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0.8164910078048706
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0.8136745095252991
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0.8018386960029602
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