Learn From Thy Neighbor : Parallel-Chain and Regional Adaptive MCMC

@inproceedings{Craiu2009LearnFT,
  title={Learn From Thy Neighbor : Parallel-Chain and Regional Adaptive MCMC},
  author={Radu Craiu and Jeffrey S. Rosenthal and Chao Yang},
  year={2009}
}
Starting with the seminal paper of Haario, Saksman and Tamminen (Haario et al. (2001)), a substantial amount of work has been done to validate adaptive Markov chain Monte Carlo algorithms. In this paper we focus on two practical aspects of adaptive Metropolis samplers. First, we draw attention to the deficient performance of standard adaptation when the target distribution is multi-modal. We propose a parallel chain adaptation strategy that incorporates multiple Markov chains which are run in… CONTINUE READING
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