Ensemble Slice Sampling

@article{Karamanis2021EnsembleSS,
  title={Ensemble Slice Sampling},
  author={Minas Karamanis and Florian Beutler},
  journal={ArXiv},
  year={2021},
  volume={abs/2002.06212}
}
Slice sampling has emerged as a powerful Markov Chain Monte Carlo algorithm that adapts to the characteristics of the target distribution with minimal hand-tuning. However, Slice Sampling’s performance is highly sensitive to the user-specified initial length scale hyperparameter and the method generally struggles with poorly scaled or strongly correlated distributions. This paper introduces Ensemble Slice Sampling (ESS), a new class of algorithms that bypasses such difficulties by adaptively… Expand
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