Efficient Monte Carlo sampling by parallel marginalization
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Publication:6478652
DOI10.1073/PNAS.0705418104arXivmath/0701563WikidataQ35921616 ScholiaQ35921616MaRDI QIDQ6478652FDOQ6478652
Authors: Jonathan Weare 
Publication date: 19 January 2007
Abstract: Markov chain Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In this paper a method is proposed to overcome this difficulty. The method utilizes information from rapidly equilibrating coarse Markov chains that sample marginal distributions of the full system. This is accomplished through exchanges between the full chain and the auxiliary coarse chains. Results of numerical tests on the bridge sampling and filtering/smoothing problems for a stochastic differential equation are presented.
Monte Carlo methods (65C05) Applications of statistics to physics (62P35) Probabilistic models, generic numerical methods in probability and statistics (65C20)
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