Interacting multiple try algorithms with different proposal distributions
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Publication:746262
DOI10.1007/S11222-011-9301-9zbMATH Open1322.65003arXiv1011.1170OpenAlexW3105437351WikidataQ60362008 ScholiaQ60362008MaRDI QIDQ746262FDOQ746262
Roberto Casarin, Radu V. Craiu, Fabrizio Leisen
Publication date: 16 October 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: We propose a new class of interacting Markov chain Monte Carlo (MCMC) algorithms designed for increasing the efficiency of a modified multiple-try Metropolis (MTM) algorithm. The extension with respect to the existing MCMC literature is twofold. The sampler proposed extends the basic MTM algorithm by allowing different proposal distributions in the multiple-try generation step. We exploit the structure of the MTM algorithm with different proposal distributions to naturally introduce an interacting MTM mechanism (IMTM) that expands the class of population Monte Carlo methods. We show the validity of the algorithm and discuss the choice of the selection weights and of the different proposals. We provide numerical studies which show that the new algorithm can perform better than the basic MTM algorithm and that the interaction mechanism allows the IMTM to efficiently explore the state space.
Full work available at URL: https://arxiv.org/abs/1011.1170
Markov chain Monte Carlosimulated annealingpopulation Monte Carlointeracting Monte Carlomultiple-try Metropolis
Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Software, source code, etc. for problems pertaining to statistics (62-04)
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Cited In (18)
- A Stochastic Volatility Model With Realized Measures for Option Pricing
- Plateau proposal distributions for adaptive component-wise multiple-try metropolis
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