Parallelizing MCMC sampling via space partitioning
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Abstract: Efficient sampling of many-dimensional and multimodal density functions is a task of great interest in many research fields. We describe an algorithm that allows parallelizing inherently serial Markov chain Monte Carlo (MCMC) sampling by partitioning the space of the function parameters into multiple subspaces and sampling each of them independently. The samples of the different subspaces are then reweighted by their integral values and stitched back together. This approach allows reducing sampling wall-clock time by parallel operation. It also improves sampling of multimodal target densities and results in less correlated samples. Finally, the approach yields an estimate of the integral of the target density function.
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Cited in
(15)- On parallelizable Markov chain Monte Carlo algorithms with waste-recycling
- SIMD parallel MCMC sampling with applications for big-data Bayesian analytics
- Parallel multivariate slice sampling
- Non-Reversible Parallel Tempering: A Scalable Highly Parallel MCMC Scheme
- Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm
- A parallel evolutionary multiple-try Metropolis Markov chain Monte Carlo algorithm for sampling spatial partitions
- Parallel adaptive multilevel sampling algorithms for the Bayesian analysis of mathematical models
- Powered embarrassing parallel MCMC sampling in Bayesian inference, a weighted average intuition
- Parallel MCMC with generalized elliptical slice sampling
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