Ensemble preconditioning for Markov chain Monte Carlo simulation
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Publication:1702007
DOI10.1007/S11222-017-9730-1zbMATH Open1384.65004arXiv1607.03954OpenAlexW2962885101MaRDI QIDQ1702007FDOQ1702007
Benedict Leimkuhler, Jonathan Weare, Charles Matthews
Publication date: 27 February 2018
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We describe parallel Markov chain Monte Carlo methods that propagate a collective ensemble of paths, with local covariance information calculated from neighboring replicas. The use of collective dynamics eliminates multiplicative noise and stabilizes the dynamics thus providing a practical approach to difficult anisotropic sampling problems in high dimensions. Numerical experiments with model problems demonstrate that dramatic potential speedups, compared to various alternative schemes, are attainable.
Full work available at URL: https://arxiv.org/abs/1607.03954
Recommendations
Markov chain Monte Carlomachine learningMCMCcomputational statisticsBrownian dynamicsstochastic samplingBFGSLangevin methods
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
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Cited In (22)
- A new bi-fidelity model reduction method for Bayesian inverse problems
- Efficient derivative-free Bayesian inference for large-scale inverse problems
- Ensemble Markov Chain Monte Carlo with Teleporting Walkers
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- Constructing Sampling Schemes via Coupling: Markov Semigroups and Optimal Transport
- Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler
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