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Weight-preserving simulated tempering
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Tawn, Nicholas, Roberts, Gareth O. and Rosenthal, Jeffrey S. (2020) Weight-preserving simulated tempering. Statistics and Computing, 30 . pp. 27-41. doi:10.1007/s11222-019-09863-3 ISSN 0960-3174.
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Official URL: http://dx.doi.org/10.1007/s11222-019-09863-3
Abstract
Simulated tempering is a popular method of allowing MCMC algorithms to move between modes of a multimodal target density π . One problem with simulated tempering for multimodal targets is that the weights of the various modes change for different inverse-temperature values, sometimes dramatically so. In this paper, we provide a fix to overcome this problem, by adjusting the mode weights to be preserved (i.e. constant) over different inverse-temperature settings. We then apply simulated tempering algorithms to multimodal targets using our mode weight correction. We present simulations in which our weight-preserving algorithm mixes between modes much more successfully than traditional tempering algorithms. We also prove a diffusion limit for an version of our algorithm, which shows that under appropriate assumptions, our algorithm mixes in time O(d[logd]2).
| Item Type: | Journal Article | |||||||||
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| Subjects: | Q Science > QA Mathematics Q Science > QA Mathematics > QA76 Electronic computers. Computer science. Computer software |
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| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||
| Library of Congress Subject Headings (LCSH): | Monte Carlo method, Markov processes, Algorithms | |||||||||
| Journal or Publication Title: | Statistics and Computing | |||||||||
| Publisher: | Springer | |||||||||
| ISSN: | 0960-3174 | |||||||||
| Official Date: | February 2020 | |||||||||
| Dates: |
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| Volume: | 30 | |||||||||
| Page Range: | pp. 27-41 | |||||||||
| DOI: | 10.1007/s11222-019-09863-3 | |||||||||
| Status: | Peer Reviewed | |||||||||
| Publication Status: | Published | |||||||||
| Access rights to Published version: | Open Access (Creative Commons) | |||||||||
| Date of first compliant deposit: | 28 March 2019 | |||||||||
| Date of first compliant Open Access: | 28 March 2019 | |||||||||
| RIOXX Funder/Project Grant: |
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