Convergence rate of multiple-try Metropolis independent sampler

DOI10.1007/S11222-023-10241-3MaRDI QIDQ6173559zbMATH OpenOpenAlexFDO

Authors

Publication date 21 July 2023

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2111.15084

zbMATH Keywords

Markov chainMonte Carloeigenvaluesconvergence ratetransition function

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Abstract: The Multiple-try Metropolis (MTM) method is an interesting extension of the classical Metropolis-Hastings algorithm. However, theoretical understandings of its convergence behavior as well as whether and how it may help are still unknown. This paper derives the exact convergence rate for Multiple-try Metropolis Independent sampler (MTM-IS) via an explicit eigen analysis. As a by-product, we prove that MTM-IS is less efficient than the simpler approach of repeated independent Metropolis-Hastings method at the same computational cost. We further explore more variations and find it possible to design more efficient MTM algorithms by creating correlated multiple trials.

Recommendations

• Scaling analysis of multiple-try MCMC methods
• On the flexibility of the design of multiple try Metropolis schemes
• Issues in the multiple try Metropolis mixing
• An Extension of the Metropolis Algorithm
• Adaptive independent Metropolis-Hastings

Cites work

• scientific article; zbMATH DE number 720679 (Why is no real title available?)
• scientific article; zbMATH DE number 1082719 (Why is no real title available?)
• Equation of state calculations by fast computing machines
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Gibbs sampling, exponential families and orthogonal polynomials
• Handbook of Markov Chain Monte Carlo
• Interacting multiple try algorithms with different proposal distributions
• Markov chains and mixing times. With a chapter on ``Coupling from the past by James G. Propp and David B. Wilson.
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo Approximation of Bayes Factors via Mixing With Surrogate Distributions
• Monte Carlo sampling methods using Markov chains and their applications
• Monte Carlo strategies in scientific computing.
• Multipoint Metropolis method with application to hybrid Monte Carlo
• On parallelizable Markov chain Monte Carlo algorithms with waste-recycling
• On the geometric ergodicity of Metropolis-Hastings algorithms
• Scaling analysis of multiple-try MCMC methods
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Weighted finite population sampling to maximize entropy
• What do we know about the Metropolis algorithm?

Cited in

(2)

• Scaling analysis of multiple-try MCMC methods
• On the flexibility of the design of multiple try Metropolis schemes

This page was built for publication: Convergence rate of multiple-try Metropolis independent sampler

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6173559)