The Multiple-Try Method and Local Optimization in Metropolis Sampling

@article{Liu2000TheMM,
  title={The Multiple-Try Method and Local Optimization in Metropolis Sampling},
  author={Jun S. Liu and Faming Liang and Wing Hung Wong},
  journal={Journal of the American Statistical Association},
  year={2000},
  volume={95},
  pages={121 - 134}
}
Abstract This article describes a new Metropolis-like transition rule, the multiple-try Metropolis, for Markov chain Monte Carlo (MCMC) simulations. By using this transition rule together with adaptive direction sampling, we propose a novel method for incorporating local optimization steps into a MCMC sampler in continuous state-space. Numerical studies show that the new method performs significantly better than the traditional Metropolis-Hastings (M-H) sampler. With minor tailoring in using… Expand
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