On the flexibility of the design of multiple try Metropolis schemes

DOI10.1007/S00180-013-0429-2MaRDI QIDQ2259352zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Jesse Read, Luca Martino

Publication date 3 March 2015

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.0646

zbMATH Keywords

MCMC techniquesMetropolis-Hasting methodmulti-point Metropolis algorithmmultiple try Metropolis algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Abstract: The Multiple Try Metropolis (MTM) method is a generalization of the classical Metropolis-Hastings algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In the literature, several extensions have been proposed. In this work, we show and remark upon the flexibility of the design of MTM-type methods, fulfilling the detailed balance condition. We discuss several possibilities and show different numerical results.

Recommendations

• Issues in the multiple try Metropolis mixing
• Scaling analysis of multiple-try MCMC methods
• Convergence rate of multiple-try Metropolis independent sampler
• A generalized multiple-try version of the reversible jump algorithm
• Interacting multiple try algorithms with different proposal distributions

Cites work

• A multi-point Metropolis scheme with generic weight functions
• Adaptive proposal distribution for random walk Metropolis algorithm
• Advanced Markov chain Monte Carlo methods. Learning from past samples.
• An adaptive Metropolis algorithm
• Equation of state calculations by fast computing machines
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1082719 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• Independent Doubly Adaptive Rejection Metropolis Sampling Within Gibbs Sampling
• Interacting multiple try algorithms with different proposal distributions
• Markov chain Monte Carlo methods with applications to signal processing.
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• Multipoint Metropolis method with application to hybrid Monte Carlo
• On Metropolis-Hastings algorithms with delayed rejection
• On the flexibility of Metropolis-Hastings acceptance probabilities in auxiliary variable proposal generation
• Optimum Monte-Carlo sampling using Markov chains
• Scaling analysis of multiple-try MCMC methods
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(12)

• Efficient importance sampling in low dimensions using affine arithmetic
• Plateau proposal distributions for adaptive component-wise multiple-try metropolis
• Generalized integral transform and Hamiltonian Monte Carlo for Bayesian structural damage identification
• An adaptive multiple-try Metropolis algorithm
• Modelling Dengue fever epidemics in Jakarta
• A multiple-try Metropolis-Hastings algorithm with tailored proposals
• Issues in the multiple try Metropolis mixing
• Improving the acceptance in Monte Carlo simulations: sampling through intermediate states
• Marginal Likelihood Computation for Model Selection and Hypothesis Testing: An Extensive Review
• Convergence rate of multiple-try Metropolis independent sampler
• Target-aware Bayesian inference via generalized thermodynamic integration
• Scaling analysis of multiple-try MCMC methods

This page was built for publication: On the flexibility of the design of multiple try Metropolis schemes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2259352)