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An adaptive parallel tempering algorithm

Abstract:

Parallel tempering is a generic Markov chainMonteCarlo samplingmethod which allows good mixing with multimodal target distributions, where conventionalMetropolis- Hastings algorithms often fail. The mixing properties of the sampler depend strongly on the choice of tuning parameters, such as the temperature schedule and the proposal distribution used for local exploration. We propose an adaptive algorithm with fixed number of temperatures which tunes both the temperature schedule and the param...

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Journal:
Journal of Computational and Graphical Statistics
Volume:
22
Issue:
3
Pages:
649-664
Publication date:
2013-01-01
DOI:
EISSN:
1537-2715
ISSN:
1061-8600
URN:
uuid:057769f9-650a-4b75-b71f-f57af0c5fda7
Source identifiers:
487890
Local pid:
pubs:487890
Language:
English
Keywords:

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