On the flexibility of the design of Multiple Try Metropolis schemes
Computation
2014-05-20 v3 Statistics Theory
Methodology
Statistics Theory
Abstract
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 and show different numerical results.
Keywords
Cite
@article{arxiv.1201.0646,
title = {On the flexibility of the design of Multiple Try Metropolis schemes},
author = {Luca Martino and Jesse Read},
journal= {arXiv preprint arXiv:1201.0646},
year = {2014}
}