Parallel and interacting Markov chain Monte Carlo algorithm

DOI10.1016/J.MATCOM.2009.04.010zbMATH Open1178.65003arXivmath/0610181OpenAlexW2064284814WikidataQ60523758 ScholiaQ60523758MaRDI QIDQ730861FDOQ730861

Authors: F. Campillo, Rivo Rakotozafy, Vivien Rossi 

Publication date: 1 October 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Abstract: In many situations it is important to be able to propose $N$ independent realizations of a given distribution law. We propose a strategy for making $N$ parallel Monte Carlo Markov Chains (MCMC) interact in order to get an approximation of an independent $N$-sample of a given target law. In this method each individual chain proposes candidates for all other chains. We prove that the set of interacting chains is itself a MCMC method for the product of $N$ target measures. Compared to independent parallel chains this method is more time consuming, but we show through concrete examples that it possesses many advantages: it can speed up convergence toward the target law as well as handle the multi-modal case.

Full work available at URL: https://arxiv.org/abs/math/0610181

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zbMATH Keywords

hidden Markov modelMarkov chain Monte Carlo methodinteracting chainsMetropolis within Gibbs algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

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Cited In (12)

• Interacting Hastings-Metropolis algorithms
• Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo
• Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm
• A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods
• A new class of interacting Markov chain Monte Carlo methods
• Recombination operators and selection strategies for evolutionary Markov chain Monte Carlo algorithms
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• Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach
• Interacting multiple try algorithms with different proposal distributions
• Markov chain Monte Carlo calculations allowing parallel processing using a variant of the Metropolis algorithm
• Markov chain Monte Carlo algorithms allowing parallel processing. II
• Shaken dynamics: an easy way to parallel Markov chain Monte Carlo

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