English

Pseudo-extended Markov chain Monte Carlo

Methodology 2019-10-30 v3 Computation Machine Learning

Abstract

Sampling from posterior distributions using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations, particularly when the posterior is multi-modal as the MCMC sampler can become trapped in a local mode for a large number of iterations. In this paper, we introduce the pseudo-extended MCMC method as a simple approach for improving the mixing of the MCMC sampler for multi-modal posterior distributions. The pseudo-extended method augments the state-space of the posterior using pseudo-samples as auxiliary variables. On the extended space, the modes of the posterior are connected, which allows the MCMC sampler to easily move between well-separated posterior modes. We demonstrate that the pseudo-extended approach delivers improved MCMC sampling over the Hamiltonian Monte Carlo algorithm on multi-modal posteriors, including Boltzmann machines and models with sparsity-inducing priors.

Keywords

Cite

@article{arxiv.1708.05239,
  title  = {Pseudo-extended Markov chain Monte Carlo},
  author = {Christopher Nemeth and Fredrik Lindsten and Maurizio Filippone and James Hensman},
  journal= {arXiv preprint arXiv:1708.05239},
  year   = {2019}
}

Comments

Advances in Neural Information Processing Systems 2019

R2 v1 2026-06-22T21:17:03.814Z