Tuning tempered transitions
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Abstract: The method of tempered transitions was proposed by Neal (1996) for tackling the difficulties arising when using Markov chain Monte Carlo to sample from multimodal distributions. In common with methods such as simulated tempering and Metropolis-coupled MCMC, the key idea is to utilise a series of successively easier to sample distributions to improve movement around the state space. Tempered transitions does this by incorporating moves through these less modal distributions into the MCMC proposals. Unfortunately the improved movement between modes comes at a high computational cost with a low acceptance rate of expensive proposals. We consider how the algorithm may be tuned to increase the acceptance rates for a given number of temperatures. We find that the commonly assumed geometric spacing of temperatures is reasonable in many but not all applications.
Recommendations
- Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo
- Weight-preserving simulated tempering
- Accelerating parallel tempering: quantile tempering algorithm (QuanTA)
- Perfect Forward Simulation via Simulated Tempering
- Conditions for rapid mixing of parallel and simulated tempering on multimodal distributions
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Cited in
(13)- Estimating the evidence -- a review
- Thermodynamic Bayesian model comparison
- Improving power posterior estimation of statistical evidence
- Normalizing constants of log-concave densities
- Distance between configurations in Markov chain Monte Carlo simulations
- scientific article; zbMATH DE number 1633754 (Why is no real title available?)
- A path sampling identity for computing the Kullback-Leibler and J divergences
- Weight-preserving simulated tempering
- Consistency of variational Bayes inference for estimation and model selection in mixtures
- Adaptive regularisation for ensemble Kalman inversion
- A bound for the convergence rate of parallel tempering for sampling restricted Boltzmann machines
- State-dependent swap strategies and automatic reduction of number of temperatures in adaptive parallel tempering algorithm
- Parallel tempering with equi-energy moves
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