Adaptive Markov chain Monte Carlo for auxiliary variable method and its application to parallel tempering

DOI10.1016/J.NEUNET.2013.02.001MaRDI QIDQ2510806zbMATH OpenOpenAlexWikidataFDO

Authors Takamitsu Araki, Kazushi Ikeda

Publication date 4 August 2014

Published in Neural Networks (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.3195

zbMATH Keywords

adaptive Markov chain Monte Carloparallel temperingconvergence theoremauxiliary variable method

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: Auxiliary variable methods such as the Parallel Tempering and the cluster Monte Carlo methods generate samples that follow a target distribution by using proposal and auxiliary distributions. In sampling from complex distributions, these algorithms are highly more efficient than the standard Markov chain Monte Carlo methods. However, their performance strongly depends on their parameters and determining the parameters is critical. In this paper, we proposed an algorithm for adapting the parameters during drawing samples and proved the convergence theorem of the adaptive algorithm. We applied our algorithm to the Parallel Tempering. That is, we developed adaptive Parallel Tempering that tunes the parameters on the fly. We confirmed the effectiveness of our algorithm through the validation of the adaptive Parallel Tempering, comparing samples from the target distribution by the adaptive Parallel Tempering and samples by conventional algorithms.

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Cited in

(7)

• Adaptive tempered reversible jump algorithm for Bayesian curve fitting
• Non-Reversible Parallel Tempering: A Scalable Highly Parallel MCMC Scheme
• An efficient sampling algorithm with adaptations for Bayesian variable selection
• Accelerating parallel tempering: quantile tempering algorithm (QuanTA)
• Weighted particle tempering
• A framework for adaptive MCMC targeting multimodal distributions
• On the flexibility of Metropolis-Hastings acceptance probabilities in auxiliary variable proposal generation

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