Generating MCMC proposals by randomly rotating the regular simplex

DOI10.1016/J.JMVA.2022.105106MaRDI QIDQ2111065zbMATH OpenOpenAlexFDO

Authors Andrew J. Holbrook

Publication date 23 December 2022

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2110.06445

zbMATH Keywords

Haar measureMarkov chain Monte Carloorthogonal groupparallel MCMC

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Monte Carlo methods (65C05)

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Cites work

• A course in abstract harmonic analysis
• A multiple-try Metropolis-Hastings algorithm with tailored proposals
• An adaptive Metropolis algorithm
• Differentiating the pseudo determinant
• Equation of state calculations by fast computing machines
• Generation of Random Orthogonal Matrices
• scientific article; zbMATH DE number 3048077 (Why is no real title available?)
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• On parallelizable Markov chain Monte Carlo algorithms with waste-recycling
• Optimal proposal distributions and adaptive MCMC
• Optimum Monte-Carlo sampling using Markov chains
• Scaling analysis of multiple-try MCMC methods
• Slice sampling. (With discussions and rejoinder)
• The Efficient Generation of Random Orthogonal Matrices with an Application to Condition Estimators
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(2)

• A Quantum Parallel Markov Chain Monte Carlo
• On the fundamental limitations of multi-proposal Markov chain Monte Carlo algorithms

Describes a project that uses

Uses Software

• TensorFlow
• pracma

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