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arXiv · 1201.0646

On the flexibility of the design of Multiple Try Metropolis schemes

Luca Martino·Jesse Read
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Abstract

The Multiple Try Metropolis (MTM) method is a generalization of the classical Metropolis-Hastings algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In the literature, several extensions have been proposed. In this work, we show and remark upon the flexibility of the design of MTM-type methods, fulfilling the detailed balance condition. We discuss several possibilities and show different numerical results.

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Luca Martino, Jesse Read. 2013-02-28. On the flexibility of the design of Multiple Try Metropolis schemes. https://doi.org/10.1007/s00180-013-0429-2

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