Adaptive Equi-Energy Sampler
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Publication:4635208
DOI10.1145/2414416.2414421zbMATH Open1386.65024arXiv1207.0662OpenAlexW1984978414MaRDI QIDQ4635208FDOQ4635208
Gersende Fort, Eric Moulines, A. Schreck
Publication date: 16 April 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Abstract: Markov chain Monte Carlo (MCMC) methods allow to sample a distribution known up to a multiplicative constant. Classical MCMC samplers are known to have very poor mixing properties when sampling multimodal distributions. The Equi-Energy sampler is an interacting MCMC sampler proposed by Kou, Zhou and Wong in 2006 to sample difficult multimodal distributions. This algorithm runs several chains at different temperatures in parallel, and allow lower-tempered chains to jump to a state from a higher-tempered chain having an energy 'close' to that of the current state. A major drawback of this algorithm is that it depends on many design parameters and thus, requires a significant effort to tune these parameters. In this paper, we introduce an Adaptive Equi-Energy (AEE) sampler which automates the choice of the selection mecanism when jumping onto a state of the higher-temperature chain. We prove the ergodicity and a strong law of large numbers for AEE, and for the original Equi-Energy sampler as well. Finally, we apply our algorithm to motif sampling in DNA sequences.
Full work available at URL: https://arxiv.org/abs/1207.0662
ergodicityequi-energy samplerlaw of large numbersmotif samplingadaptive samplerinteracting Markov chain Monte Carlo methods
Cited In (4)
- Convergence of the equi-energy sampler
- State-dependent swap strategies and automatic reduction of number of temperatures in adaptive parallel tempering algorithm
- Equi-energy sampler with applications in statistical inference and statistical mechanics
- Stochastic proximal-gradient algorithms for penalized mixed models
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