Nested adaptation of MCMC algorithms
From MaRDI portal
Abstract: Markov chain Monte Carlo (MCMC) methods are ubiquitous tools for simulation-based inference in many fields but designing and identifying good MCMC samplers is still an open question. This paper introduces a novel MCMC algorithm, namely, Auto Adapt MCMC. For sampling variables or blocks of variables, we use two levels of adaptation where the inner adaptation optimizes the MCMC performance within each sampler, while the outer adaptation explores the valid space of kernels to find the optimal samplers. We provide a theoretical foundation for our approach. To show the generality and usefulness of the approach, we describe a framework using only standard MCMC samplers as candidate samplers and some adaptation schemes for both inner and outer iterations. In several benchmark problems, we show that our proposed approach substantially outperforms other approaches, including an automatic blocking algorithm, in terms of MCMC efficiency and computational time.
Recommendations
- On the efficiency of adaptive MCMC algorithms
- Adaptive Gibbs samplers and related MCMC methods
- An adaptive approach to Langevin MCMC
- Adaptive multilevel Monte Carlo for probabilities
- On adaptive Markov chain Monte Carlo algorithms
- On adaptive Metropolis-Hastings methods
- Efficient Adaptive MCMC Through Precision Estimation
- Adaptive Incremental Mixture Markov Chain Monte Carlo
- MCMC-driven adaptive multiple importance sampling
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
Cites work
- scientific article; zbMATH DE number 2020395 (Why is no real title available?)
- Adaptive Markov Chain Monte Carlo through Regeneration
- An adaptive Metropolis algorithm
- Automated parameter blocking for efficient Markov chain Monte Carlo sampling
- Bayes Empirical Bayes
- Componentwise adaptation for high dimensional MCMC
- Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
- Gaussian Markov Random Fields
- Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
- On adaptive Markov chain Monte Carlo algorithms
- On the efficiency of adaptive MCMC algorithms
- Optimal scaling for various Metropolis-Hastings algorithms.
- Self-regenerative Markov chain Monte Carlo with adaptation
- The BUGS book. A practical introduction to Bayesian analysis
- Time series analysis by state space methods.
Cited in
(4)
This page was built for publication: Nested adaptation of MCMC algorithms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2057363)
