A New Technique for Sampling Multi-Modal Distributions
Computational Physics
2009-10-31 v1
Abstract
In this paper we demonstrate that multi-modal Probability Distribution Functions (PDFs) may be efficiently sampled using an algorithm originally developed for numerical integrations by Monte-Carlo methods. This algorithm can be used to generate an input PDF which can be used as an independence sampler in a Metropolis-Hastings chain to sample otherwise troublesome distributions.Some examples in one two and five dimensions are worked out.
Cite
@article{arxiv.physics/9903044,
title = {A New Technique for Sampling Multi-Modal Distributions},
author = {K. J. Abraham and L. M. Haines},
journal= {arXiv preprint arXiv:physics/9903044},
year = {2009}
}
Comments
One ps figure; submitted to "Journal of Computational Physics"