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Accelerating parallel tempering : quantile tempering algorithm (QuanTA)
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Tawn, Nicholas and Roberts, Gareth O. (2019) Accelerating parallel tempering : quantile tempering algorithm (QuanTA). Advances in Applied Probability, 51 (3). pp. 802-834. doi:10.1017/apr.2019.35 ISSN 0001-8678.
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Official URL: https://doi.org/10.1017/apr.2019.35
Abstract
It is well known that traditional Markov chain Monte Carlo (MCMC) methods can fail to effectively explore the state space for multimodal problems. Parallel tempering is a well-established population approach for such target distributions involving a collection of particles indexed by temperature. However, this method can suffer dramatically from the curse of dimensionality. In this paper we introduce an improvement on parallel tempering called QuanTA. A comprehensive theoretical analysis quantifying the improved efficiency and scalability of the approach is given. Under weak regularity conditions, QuanTA gives accelerated mixing through the temperature space. Empirical evidence of the effectiveness of this new algorithm is illustrated on canonical examples.
| Item Type: | Journal Article | |||||||||
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| Subjects: | Q Science > QA Mathematics | |||||||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||
| Library of Congress Subject Headings (LCSH): | Markov processes, Monte Carlo method -- Computer programs, Probabilities | |||||||||
| Journal or Publication Title: | Advances in Applied Probability | |||||||||
| Publisher: | Applied Probability Trust | |||||||||
| ISSN: | 0001-8678 | |||||||||
| Official Date: | 3 September 2019 | |||||||||
| Dates: |
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| Volume: | 51 | |||||||||
| Number: | 3 | |||||||||
| Page Range: | pp. 802-834 | |||||||||
| DOI: | 10.1017/apr.2019.35 | |||||||||
| Status: | Peer Reviewed | |||||||||
| Publication Status: | Published | |||||||||
| Reuse Statement (publisher, data, author rights): | "Accepted for publication by the Applied Probability Trust (http://www.appliedprobability.org) in Advances in Applied Probability 51.3 (September 2019)." | |||||||||
| Access rights to Published version: | Restricted or Subscription Access | |||||||||
| Copyright Holders: | Applied Probability Trust | |||||||||
| Date of first compliant deposit: | 30 April 2019 | |||||||||
| Date of first compliant Open Access: | 3 February 2020 | |||||||||
| RIOXX Funder/Project Grant: |
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