Convergence Rate of Multiple-try Metropolis Independent sampler

Autor:	Yang, Xiaodong, Liu, Jun S.
Rok vydání:	2021
Předmět:	Statistics - Computation Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	The Multiple-try Metropolis (MTM) method is an interesting extension of the classical Metropolis-Hastings algorithm. However, theoretical understandings of its convergence behavior as well as whether and how it may help are still unknown. This paper derives the exact convergence rate for Multiple-try Metropolis Independent sampler (MTM-IS) via an explicit eigen analysis. As a by-product, we prove that MTM-IS is less efficient than the simpler approach of repeated independent Metropolis-Hastings method at the same computational cost. We further explore more variations and find it possible to design more efficient MTM algorithms by creating correlated multiple trials. Comment: 34 pages; 7 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2111.15084 Zobrazit plný text záznamu View this record from Arxiv