JSM 2012 Home

JSM 2012 Online Program

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

Online Program Home

Abstract Details

Activity Number: 47
Type: Invited
Date/Time: Sunday, July 29, 2012 : 4:00 PM to 5:50 PM
Sponsor: Section on Bayesian Statistical Science
Abstract - #303576
Title: Interacting Multiple-Try Metropolis Sampling
Author(s): Radu V Craiu*+ and Roberto Casarin and Fabrizio Leisen
Companies: University of Toronto and University of Venice and Universidad Carlos III de Madrid
Address: 100 St George Street , Toronto, ON, M5S3G3, Canada
Keywords: Adaptive MCMC ; Interacting MCMC ; Multiple-try Metropolis ; Population Monte Carlo ; Simulated Annealing

The Multiple-try Metropolis (MTM) algorithm of Liu, Liang and Wong (JASA, 2000) generalizes the classical Metropolis-Hastings algorithm as the next state of the chain is selected from a set of candidates sampled from the proposal distribution. We show that a simple modification of the original MTM allows each candidate to be sampled from a different proposal distribution. This additional flexibility allows us to introduce a novel interacting MTM mechanism (IMTM) that expands the class of population-based Monte Carlo methods and builds connections with the rapidly expanding world of adaptive MCMC. We discuss tuning of the simulation parameters and illustrate the performance of the method with numerical examples.

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2012 program

2012 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.