Weight-preserving simulated tempering
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Abstract: Simulated tempering is popular method of allowing MCMC algorithms to move between modes of a multimodal target density {pi}. One problem with simulated tempering for multimodal targets is that the weights of the various modes change for different inverse-temperature values, sometimes dramatically so. In this paper, we provide a fix to overcome this problem, by adjusting the mode weights to be preserved (i.e., constant) over different inverse-temperature settings. We then apply simulated tempering algorithms to multimodal targets using our mode weight correction. We present simulations in which our weight-preserving algorithm mixes between modes much more successfully than traditional tempering algorithms. We also prove a diffusion limit for an version of our algorithm, which shows that under appropriate assumptions, our algorithm mixes in time O(d [log d]^2).
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Cited in
(15)- Weighted particle tempering
- Penalised t-walk MCMC
- Spectral gap of replica exchange Langevin diffusion on mixture distributions
- A framework for adaptive MCMC targeting multimodal distributions
- The simulated tempering method in the infinite switch limit with adaptive weight learning
- State-Dependent Temperature Control for Langevin Diffusions
- Stochastic adaptive selection of weights in the simulated tempering algorithm
- Accelerating parallel tempering: quantile tempering algorithm (QuanTA)
- Perfect Forward Simulation via Simulated Tempering
- Skew Brownian motion and complexity of the ALPS algorithm
- Accelerating adaptation in the adaptive Metropolis–Hastings random walk algorithm
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- Accelerate Langevin sampling with birth-death process and exploration component
- Convergence speed and approximation accuracy of numerical MCMC
- Tuning tempered transitions
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