Unbounded Slice Sampling
Computation
2020-10-06 v1
Abstract
Slice sampling is an efficient Markov Chain Monte Carlo algorithm to sample from an unnormalized density with acceptance ratio always . However, when the variable to sample is unbounded, its "stepping-out" heuristic works only locally, making it difficult to uniformly explore possible candidates. This paper proposes a simple change-of-variable method to slice sample an unbounded variable equivalently from [0,1).
Cite
@article{arxiv.2010.01760,
title = {Unbounded Slice Sampling},
author = {Daichi Mochihashi},
journal= {arXiv preprint arXiv:2010.01760},
year = {2020}
}
Comments
Research Memorandum No.1209, The Institute of Statistical Mathematics