Corpus ID: 40133677

Pseudo-Extended Markov chain Monte Carlo

  title={Pseudo-Extended Markov chain Monte Carlo},
  author={C. Nemeth and F. Lindsten and M. Filippone and J. Hensman},
  • C. Nemeth, F. Lindsten, +1 author J. Hensman
  • Published in NeurIPS 2019
  • Mathematics, Computer Science
  • Sampling from posterior distributions using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations, particularly when the posterior is multi-modal as the MCMC sampler can become trapped in a local mode for a large number of iterations. In this paper, we introduce the pseudo-extended MCMC method as a simple approach for improving the mixing of the MCMC sampler for multi-modal posterior distributions. The pseudo-extended method augments the state-space of the… CONTINUE READING
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