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Towards optimal scaling of metropolis-coupled Markov chain Monte Carlo
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Atchadé, Yves F., Roberts, Gareth O. and Rosenthal, Jeffrey S. (Jeffrey Seth) (2011) Towards optimal scaling of metropolis-coupled Markov chain Monte Carlo. Statistics and Computing, Vol.21 (No.4). pp. 555-568. doi:10.1007/s11222-010-9192-1 ISSN 0960-3174.
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Official URL: http://dx.doi.org/10.1007/s11222-010-9192-1
Abstract
We consider optimal temperature spacings for Metropolis-coupled Markov chain Monte Carlo (MCMCMC) and Simulated Tempering algorithms. We prove that, under certain conditions, it is optimal (in terms of maximising the expected squared jumping distance) to space the temperatures so that the proportion of temperature swaps which are accepted is approximately 0.234. This generalises related work by physicists, and is consistent with previous work about optimal scaling of random-walk Metropolis algorithms.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| 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 | ||||
| Journal or Publication Title: | Statistics and Computing | ||||
| Publisher: | Springer | ||||
| ISSN: | 0960-3174 | ||||
| Official Date: | October 2011 | ||||
| Dates: |
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| Volume: | Vol.21 | ||||
| Number: | No.4 | ||||
| Page Range: | pp. 555-568 | ||||
| DOI: | 10.1007/s11222-010-9192-1 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Funder: | Natural Sciences and Engineering Research Council Canada (NSERC) |
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