We introduce a new class of adaptive Metropolis algorithms called adaptive sticky algorithms for ecient general-purpose simulation from a target probability distribution. The transition of the Metropolis chain is based on a multiple-try scheme and the dierent proposals are generated by adaptive nonparametric distributions. Our adaptation strategy uses the interpolation of support points from the past history of the chain as in the adaptive rejection Metropolis. The algorithm eciency is strengthened by a step that controls the evolution of the set of support points. This extra stage improves the computational cost and accelerates the convergence of the proposal distribution to the target. Despite the algorithms are presented for univariate target distributions, we show that they can be easily extended to the multivariate context by a Gibbs sampling strategy. We show the ergodicity of the proposed algorithms and illustrate their eciency and eectiveness through some simulated examples involving target distributions with complex structures

Adaptive Sticky Generalized Metropolis

CASARIN, Roberto;
2013

Abstract

We introduce a new class of adaptive Metropolis algorithms called adaptive sticky algorithms for ecient general-purpose simulation from a target probability distribution. The transition of the Metropolis chain is based on a multiple-try scheme and the dierent proposals are generated by adaptive nonparametric distributions. Our adaptation strategy uses the interpolation of support points from the past history of the chain as in the adaptive rejection Metropolis. The algorithm eciency is strengthened by a step that controls the evolution of the set of support points. This extra stage improves the computational cost and accelerates the convergence of the proposal distribution to the target. Despite the algorithms are presented for univariate target distributions, we show that they can be easily extended to the multivariate context by a Gibbs sampling strategy. We show the ergodicity of the proposed algorithms and illustrate their eciency and eectiveness through some simulated examples involving target distributions with complex structures
Adaptive Sticky Generalized Metropolis
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/38345
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