Parallel and interacting Markov chain Monte Carlo algorithm

DOI10.1016/J.MATCOM.2009.04.010MaRDI QIDQ730861zbMATHOpenAlexWikidataFDO

Authors F. Campillo, Rivo Rakotozafy, Vivien Rossi

Publication date 1 October 2009

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

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

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)

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.

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Cited in

(15)

• Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach
• A new class of interacting Markov chain Monte Carlo methods
• Parallelizing MCMC sampling via space partitioning
• Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm
• Interacting Hastings-Metropolis algorithms
• Shaken dynamics: an easy way to parallel Markov chain Monte Carlo
• 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
• Recombination operators and selection strategies for evolutionary Markov chain Monte Carlo algorithms
• A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods
• On parallelizable Markov chain Monte Carlo algorithms with waste-recycling
• On parallel implementation of sequential Monte Carlo methods: the island particle model
• scientific article; zbMATH DE number 1834569 (Why is no real title available?)
• Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo

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