Scaling analysis of multiple-try MCMC methods

Mylène Bédard, Randal Douc and Eric Moulines

Stochastic Processes and their Applications, 2012, vol. 122, issue 3, 758-786

Abstract: Multiple-try methods are extensions of the Metropolis algorithm in which the next state of the Markov chain is selected among a pool of proposals. These techniques have witnessed a recent surge of interest because they lend themselves easily to parallel implementations. We consider extended versions of these methods in which some dependence structure is introduced in the proposal set, extending earlier work by Craiu and Lemieux (2007).

Keywords: Random walk Metropolis; Weak convergence; Diffusion; Correlated proposals; Auxiliary random variables (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:3:p:758-786

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DOI: 10.1016/j.spa.2011.11.004

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