Perfect Forward Simulation via Simulated Tempering
نویسندگان
چکیده
Several authors discuss how the simulated tempering scheme provides a very simple mechanism for introducing regenerations within a Markov chain. In this paper we explain how regenerative simulated tempering schemes provide a very natural mechanism for perfect simulation. We use this to provide a perfect simulation algorithm, which uses a single-sweep forward-simulation without the need for recursively searching through negative times. We demonstrate this algorithm in the context of several examples.
منابع مشابه
Markov Chain Monte Carlo and Related Topics
This article provides a brief review of recent developments in Markov chain Monte Carlo methodology. The methods discussed include the standard Metropolis-Hastings algorithm, the Gibbs sampler, and various special cases of interest to practitioners. It also devotes a section on strategies for improving mixing rate of MCMC samplers, e.g., simulated tempering, parallel tempering, parameter expans...
متن کاملConditions for Rapid Mixing of Parallel and Simulated Tempering on Multimodal Distributions by Dawn
We give conditions under which a Markov chain constructed via parallel or simulated tempering is guaranteed to be rapidly mixing, which are applicable to a wide range of multimodal distributions arising in Bayesian statistical inference and statistical mechanics. We provide lower bounds on the spectral gaps of parallel and simulated tempering. These bounds imply a single set of sufficient condi...
متن کاملConditions for Rapid Mixing of Parallel and Simulated Tempering on Multimodal Distributions
We give conditions under which a Markov chain constructed via parallel or simulated tempering is guaranteed to be rapidly mixing, which are applicable to a wide range of multimodal distributions arising in Bayesian statistical inference and statistical mechanics. We provide lower bounds on the spectral gaps of parallel and simulated tempering. These bounds imply a single set of sufficient condi...
متن کاملPerfect simulation for sample-based inference
Perfect simulation algorithms based on Propp and Wilson (1996) have so far been of limited use for sampling problems of interest in statistics. We specify a new family of perfect sampling algorithms obtained by combining MCMC tempering algorithms with dominated coupling from the past, and demonstrate that our algorithms will be useful for sample based inference. Perfect tempering algorithms are...
متن کاملWeights and acceptance ratios in generalized ensemble simulations
This paper addresses issues related to weights and acceptance ratios in generalized ensemble simulation (GES), while comparing two algorithms of GES: serial (e.g., simulated tempering) and parallel (e.g., parallel tempering or replica exchange). We derive a cumulant approximation formula for optimal weights in the serial GES and discuss its effectiveness in practical applications. We compare th...
متن کامل