Discussion of ``Equi-energy sampler by Kou, Zhou and Wong

DOI10.1214/009053606000000489zbMATH Open1246.82051arXivmath/0611217OpenAlexW3105051360MaRDI QIDQ449939FDOQ449939

Authors: Yves F. Atchadé, Jun S. Liu 

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We congratulate Samuel Kou, Qing Zhou and Wing Wong [math.ST/0507080] (referred to subsequently as KZW) for this beautifully written paper, which opens a new direction in Monte Carlo computation. This discussion has two parts. First, we describe a very closely related method, multicanonical sampling (MCS), and report a simulation example that compares the equi-energy (EE) sampler with MCS. Overall, we found the two algorithms to be of comparable efficiency for the simulation problem considered. In the second part, we develop some additional convergence results for the EE sampler.

Full work available at URL: https://arxiv.org/abs/math/0611217

Recommendations

• Convergence of the equi-energy sampler
• A Note on Convergence of the Equi-Energy Sampler
• Adaptive equi-energy sampler: convergence and illustration
• Resampling from the past to improve on MCMC algorithms
• Parallel tempering with equi-energy moves

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sampling theory, sample surveys (62D05) Sampling theory in information and communication theory (94A20)

Cites Work

• Markov chains for exploring posterior distributions. (With discussion)
• On adaptive Markov chain Monte Carlo algorithms
• Weighted sums of certain dependent random variables
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (8)

• Adaptive equi-energy sampler: convergence and illustration
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• A Note on Convergence of the Equi-Energy Sampler
• Reconstructing the energy landscape of a distribution from Monte Carlo samples
• Interacting sequential Monte Carlo samplers for trans-dimensional simulation
• Resampling from the past to improve on MCMC algorithms
• Parallel tempering with equi-energy moves
• Equi-energy sampling does not converge rapidly on the mean-field Potts model with three colors close to the critical temperature

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