Corpus ID: 1439735

Pseudo-Marginal Slice Sampling

@inproceedings{Murray2015PseudoMarginalSS,
  title={Pseudo-Marginal Slice Sampling},
  author={Iain Murray and Matthew M. Graham},
  booktitle={AISTATS},
  year={2015}
}
  • Iain Murray, Matthew M. Graham
  • Published in AISTATS 2015
  • Mathematics, Computer Science
  • Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct a Markov chain. However, the resulting chains are harder to tune to a target distribution than conventional MCMC, and the types of updates available are limited. We describe a general way to clamp and update the random numbers used in a pseudo-marginal method… CONTINUE READING

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