A multi-point Metropolis scheme with generic weight functions Articles uri icon

authors

  • MARTINO, LUCA
  • Pascual Del Olmo, Victor
  • READ, JESSE MICHAEL

publication date

  • July 2012

start page

  • 1445

end page

  • 1453

issue

  • 7

volume

  • 82

International Standard Serial Number (ISSN)

  • 0167-7152

Electronic International Standard Serial Number (EISSN)

  • 1879-2103

abstract

  • The multi-point Metropolis algorithm is an advanced MCMC technique based on drawing several correlated samples at each step and choosing one of them according to some normalized weights. We propose a variation of this technique where the weight functions are not specified, i.e., the analytic form can be chosen arbitrarily. This has the advantage of greater flexibility in the design of high-performance MCMC samplers. We prove that our method fulfills the balance condition, and provide a numerical simulation. We also give new insight into the functionality of different MCMC algorithms, and the connections between them.

keywords

  • multiple try metropolis algorithm; multi-point metropolis algorithm; mcmc methods