An adaptive multiple-try Metropolis algorithm

DOI10.3150/21-BEJ1408OpenAlexW4224309854MaRDI QIDQ2137054FDOQ2137054

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-28/issue-3/An-adaptive-multiple-try-Metropolis-algorithm/10.3150/21-BEJ1408.full

zbMATH Keywords

ergodicity limit theorem multiple candidates adaptive scaling loss of heterozygosity random walk sampler robust adaptation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Probabilistic methods, stochastic differential equations (65Cxx) Limit theorems in probability theory (60Fxx) Markov processes (60Jxx)

Cites Work

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Cited In (7)

Plateau proposal distributions for adaptive component-wise multiple-try metropolis
Issues in the multiple try Metropolis mixing
An adaptive Metropolis algorithm
A Repelling–Attracting Metropolis Algorithm for Multimodality
A novel method for damage identification based on tuning-free strategy and simple population Metropolis-Hastings algorithm
A multi-point Metropolis scheme with generic weight functions
Adaptive Component-Wise Multiple-Try Metropolis Sampling

Uses Software

ramcmc

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