A multi-point Metropolis scheme with generic weight functions

DOI10.1016/J.SPL.2012.04.008zbMATH Open1315.65004arXiv1112.4048OpenAlexW2097397563WikidataQ59428116 ScholiaQ59428116MaRDI QIDQ449426FDOQ449426

Authors: Luca Martino, Victor Pascual Del Olmo, Jesse Read 

Publication date: 30 August 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: The multi-point Metropolis algorithm is an advanced MCMC technique based on drawing several correlated samples at each step and choosing one of them according to some normalized weights. We propose a variation of this technique where the weight functions are not specified, i.e., the analytic form can be chosen arbitrarily. This has the advantage of greater flexibility in the design of high-performance MCMC samplers. We prove that our method fulfills the balance condition, and provide a numerical simulation. We also give new insight into the functionality of different MCMC algorithms, and the connections between them.

Full work available at URL: https://arxiv.org/abs/1112.4048

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zbMATH Keywords

MCMC methodsmulti-point Metropolis algorithmmultiple try Metropolis algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

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• Multipoint Metropolis method with application to hybrid Monte Carlo
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• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Interacting multiple try algorithms with different proposal distributions
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Cited In (12)

• Issues in the multiple try Metropolis mixing
• Compressed Monte Carlo with application in particle filtering
• On the flexibility of the design of multiple try Metropolis schemes
• A multiple-try Metropolis-Hastings algorithm with tailored proposals
• Parallel generalized elliptical slice sampling with adaptive regional pseudo-priors
• A generalized multiple-try version of the reversible jump algorithm
• Improving the acceptance in Monte Carlo simulations: sampling through intermediate states
• Computing the halfspace depth with multiple try algorithm and simulated annealing algorithm
• Marginal Likelihood Computation for Model Selection and Hypothesis Testing: An Extensive Review
• A Repelling–Attracting Metropolis Algorithm for Multimodality
• Generalized multiple-point Metropolis algorithms for approximate Bayesian computation
• Multipoint Metropolis method with application to hybrid Monte Carlo

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