On the flexibility of the design of multiple try Metropolis schemes

The multiple try Metropolis (MTM) method is a generalization of the classical Metropolis-Hastings algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In the literature, several extensions have been proposed. In this work, we show and remark upon the flexibility of the design of MTM-type methods, fulfilling the detailed balance condition. We discuss several possibilities, show different numerical simulations and discuss the implications of the results.

metropolis-hasting method; multiple try metropolis algorithm; multi-point metropolis algorithm; mcmc techniques

On the flexibility of the design of multiple try Metropolis schemes Articles