Annealed Importance Sampling Reversible Jump MCMC Algorithms
Annealed Importance Sampling Reversible Jump MCMC Algorithms
复制标题
退火重要性采样可逆跳转 MCMC 算法
DOI：
--
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
C. Andrieu
中科院分区：
文献类型：
--
作者：
G. Karagiannis;C. Andrieu
我们开发了一种方法来有效地实施绿色的可逆跳跃马尔可夫链蒙特卡洛（RJ-MCMC）算法，例如，在贝叶斯框架中模型选择推断，该框架以“拖动快速变量”的想法为基础这种算法退火重要性采样可逆跳跃（AISRJ）。选择问题只能采样模型标签，但无法实现该方法的核心是将不同的模型与虚拟的中间模型桥接的想法，其作用是引入平滑的间建模过渡，并且正如我们将看到的那样。在两个标准模型选择问题上证明了所得算法的效率，我们表明，尽管产生了额外的计算工作，但该方法在计算上仍可能是高度竞争的。该文章的补充材料可在线获得。
We develop a methodology to efficiently implement the reversible jump Markov chain Monte Carlo (RJ-MCMC) algorithms of Green, applicable for example to model selection inference in a Bayesian framework, which builds on the “dragging fast variables” ideas of Neal. We call such algorithms annealed importance sampling reversible jump (aisRJ). The proposed procedures can be thought of as being exact approximations of idealized RJ algorithms which in a model selection problem would sample the model labels only, but cannot be implemented. Central to the methodology is the idea of bridging different models with fictitious intermediate models, whose role is to introduce smooth intermodel transitions and, as we shall see, improve performance. Efficiency of the resulting algorithms is demonstrated on two standard model selection problems and we show that despite the additional computational effort incurred, the approach can be highly competitive computationally. Supplementary materials for the article are available online.
DOI：
10.1214/14-aap1022
发表时间：
2015
期刊：
The Annals of Applied Probability
影响因子：
--
作者：
Andrieu C
通讯作者：
Andrieu C
DOI：
--
发表时间：
1997
期刊：
Journal of the royal statistical society series b-methodological
影响因子：
--
作者：
S. Richardson;P. Green;Christian P. Robert;M. Aitkin;David R. Cox;Matthew Stephens;A. Polymenis;W. Gilks;A. Nobile;M. Hodgson;Anthony O'Hagan;N. Longford;A. Dawid;Anthony C. Atkinson;J. Bernardo;J. Besag;Stephen Brooks;S. Byers;A. Raftery;G. Celeux;R. Cheng;W. B. Liu;Yung-Hsin Chien;Edward I. George;N. Cressie;H.-C. Huang;M. Gruet;S. C. Heath;C. Jennison;Andrew B. Lawson;Allan Clark;Geoffrey J. McLachlan;D. Peel;K. Mengersen;A. George;Anne Philippe;Kathryn Roeder;Larry Wasserman;Peter Schlattmann;D. Böhning;D. M. Titterington;H. Tong;M. West
通讯作者：
S. Richardson;P. Green;Christian P. Robert;M. Aitkin;David R. Cox;Matthew Stephens;A. Polymenis;W. Gilks;A. Nobile;M. Hodgson;Anthony O'Hagan;N. Longford;A. Dawid;Anthony C. Atkinson;J. Bernardo;J. Besag;Stephen Brooks;S. Byers;A. Raftery;G. Celeux;R. Cheng;W. B. Liu;Yung-Hsin Chien;Edward I. George;N. Cressie;H.-C. Huang;M. Gruet;S. C. Heath;C. Jennison;Andrew B. Lawson;Allan Clark;Geoffrey J. McLachlan;D. Peel;K. Mengersen;A. George;Anne Philippe;Kathryn Roeder;Larry Wasserman;Peter Schlattmann;D. Böhning;D. M. Titterington;H. Tong;M. West