Convergence Rate of Multiple-try Metropolis Independent sampler
Autor: | Yang, Xiaodong, Liu, Jun S. |
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Rok vydání: | 2021 |
Předmět: | |
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 |
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