Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo
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Publication:637987
DOI10.1007/S11222-010-9192-1zbMATH Open1223.65001OpenAlexW2146960149MaRDI QIDQ637987FDOQ637987
Authors: Yves F. Atchadé, Gareth O. Roberts, Jeffrey S. Rosenthal 
Publication date: 8 September 2011
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-010-9192-1
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Markov chainrandom walkMetropolis-Hastings algorithmoptimal scalingsimulated temperingMonte Carlo algorithm
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sums of independent random variables; random walks (60G50)
Cites Work
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- Delayed rejection in reversible jump Metropolis-Hastings.
- Monte Carlo sampling methods using Markov chains and their applications
- A Stochastic Approximation Method
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- Optimal scaling for various Metropolis-Hastings algorithms.
- Optimal Scaling of Discrete Approximations to Langevin Diffusions
- Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
- An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
- Sufficient conditions for torpid mixing of parallel and simulated tempering
- On the swapping algorithm
- The Wang-Landau algorithm in general state spaces: applications and convergence analysis
- On swapping and simulated tempering algorithms.
- Title not available (Why is that?)
- Does waste recycling really improve the multi-proposal Metropolis-Hastings algorithm? An analysis based on control variates
- Analysis of parallel replicated simulations under a completion time constraint
Cited In (33)
- Optimal volume-corrected Laplace-Metropolis method
- Analysis and optimization of certain parallel Monte Carlo methods in the low temperature limit
- Parallel tempering strategies for model-based landmark detection on shapes
- Minimising MCMC variance via diffusion limits, with an application to simulated tempering
- Kalman filter parameter estimation for a nonlinear diffusion model of epithelial cell migration using stochastic collocation and the Karhunen-Loeve expansion
- Jump Markov chains and rejection-free Metropolis algorithms
- Bayesian computation: a summary of the current state, and samples backwards and forwards
- Optimal scaling of random-walk Metropolis algorithms on general target distributions
- Optimal scaling of MCMC beyond Metropolis
- Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
- Adaptive Gibbs samplers and related MCMC methods
- Minimising the expected commute time
- A strategy for Bayesian inference for computationally expensive models with application to the estimation of stem cell properties
- Accelerating parallel tempering: quantile tempering algorithm (QuanTA)
- Skew Brownian motion and complexity of the ALPS algorithm
- Weight-preserving simulated tempering
- Automated Redistricting Simulation Using Markov Chain Monte Carlo
- Optimal scaling of the random walk Metropolis: general criteria for the 0.234 acceptance rule
- Detection of two-way outliers in multivariate data and application to cheating detection in educational tests
- Anytime parallel tempering
- A Dirichlet form approach to MCMC optimal scaling
- Preconditioning Markov Chain Monte Carlo Simulations Using Coarse-Scale Models
- A framework for adaptive MCMC targeting multimodal distributions
- Likelihood-free parallel tempering
- Interacting multiple try algorithms with different proposal distributions
- On swapping and simulated tempering algorithms.
- State-dependent swap strategies and automatic reduction of number of temperatures in adaptive parallel tempering algorithm
- Bayesian Imaging with Data-Driven Priors Encoded by Neural Networks
- Optimal search efficiency of Barker's algorithm with an exponential fitness function
- On constrained simulation and optimization by Metropolis chains
- Accelerating MCMC algorithms
- Parallel tempering with equi-energy moves
- Tuning tempered transitions
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