A multiple-try Metropolis-Hastings algorithm with tailored proposals
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Publication:2319482
Abstract: We present a new multiple-try Metropolis-Hastings algorithm designed to be especially beneficial when a tailored proposal distribution is available. The algorithm is based on a given acyclic graph , where one of the nodes in , say, contains the current state of the Markov chain and the remaining nodes contain proposed states generated by applying the tailored proposal distribution. The Metropolis-Hastings algorithm alternates between two types of updates. The first update type is using the tailored proposal distribution to generate new states in all nodes in except in node . The second update type is generating a new value for , thereby changing the value of the current state. We evaluate the effectiveness of the proposed scheme in an example with previously defined target and proposal distributions.
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Cited in
(8)- Plateau proposal distributions for adaptive component-wise multiple-try metropolis
- Issues in the multiple try Metropolis mixing
- Generating MCMC proposals by randomly rotating the regular simplex
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- Computing Bayes: from then `til now
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