A new technique for sampling multi-modal distributions

DOI10.1006/JCPH.1999.6343zbMATH Open0960.82030arXivphysics/9903044OpenAlexW3121673130MaRDI QIDQ1819014FDOQ1819014

Authors: K. J. Abraham, Linda M. Haines 

Publication date: 17 May 2001

Published in: Journal of Computational Physics (Search for Journal in Brave)

Abstract: In this paper we demonstrate that multi-modal Probability Distribution Functions (PDFs) may be efficiently sampled using an algorithm originally developed for numerical integrations by Monte-Carlo methods. This algorithm can be used to generate an input PDF which can be used as an independence sampler in a Metropolis-Hastings chain to sample otherwise troublesome distributions.Some examples in one two and five dimensions are worked out.

Full work available at URL: https://arxiv.org/abs/physics/9903044

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zbMATH Keywords

algorithmMonte Carlo methodsVEGAS algorithmindependent samplerMetropolis-Hastings chainmulti-modal probability distribution functions

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• A new algorithm for adaptive multidimensional integration
• Inference from iterative simulation using multiple sequences
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• Equation of state calculations by fast computing machines
• On the Irreducibility of a Markov Chain Defined on a Space of Genotype Configurations by a Sampling Scheme

Cited In (3)

• FiEstAS sampling -- a Monte Carlo algorithm for multidimensional numerical integration
• The Metropolis algorithm for on-shell four-momentum phase space
• Automated rejection sampling from product of distributions

Uses Software

• VEGAS
• BASES/SPRING

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