Interacting Particle Markov Chain Monte CarloShow others and affiliations
2016 (English)In: Proceedings of the 33rd International Conference on Machine Learning, 2016, Vol. 48Conference paper, Published paper (Refereed)
Abstract [en]
We introduce interacting particle Markov chain Monte Carlo (iPMCMC), a PMCMC method based on an interacting pool of standard and conditional sequential Monte Carlo samplers. Like related methods, iPMCMC is a Markov chain Monte Carlo sampler on an extended space. We present empirical results that show significant improvements in mixing rates relative to both noninteracting PMCMC samplers and a single PMCMC sampler with an equivalent memory and computational budget. An additional advantage of the iPMCMC method is that it is suitable for distributed and multi-core architectures.
Place, publisher, year, edition, pages
2016. Vol. 48
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-159493OAI: oai:DiVA.org:liu-159493DiVA, id: diva2:1341647
Conference
33rd International Conference on Machine Learning, New York, NY, USA, June 19 - 24, 2016
2019-08-092019-08-092019-08-16Bibliographically approved