Pseudo-Marginal Slice Sampling
Abstract
Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct a Markov chain. However, the resulting chains are harder to tune to a target distribution than conventional MCMC, and the types of updates available are limited. We describe a general way to clamp and update the random numbers used in a pseudo-marginal method's unbiased estimator. In this framework we can use slice sampling and other adaptive methods. We obtain more robust Markov chains, which often mix more quickly.
Cite
@article{arxiv.1510.02958,
title = {Pseudo-Marginal Slice Sampling},
author = {Iain Murray and Matthew M. Graham},
journal= {arXiv preprint arXiv:1510.02958},
year = {2016}
}
Comments
9 pages, 6 figures, 1 table. Version 2 includes citations to closely-related work released on arXiv since version 1