A multiple-try Metropolis-Hastings algorithm with tailored proposals

Xin Luo; Håkon Tjelmeland

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arXiv · 1807.01914

A multiple-try Metropolis-Hastings algorithm with tailored proposals

Xin Luo·Håkon Tjelmeland

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Abstract

We present a new multiple-try Metropolis-Hastings algorithm designed to be especially beneficial when a tailored proposal distribution is available. The algorithm is based on a given acyclic graph $G$, where one of the nodes in $G$, $k$ say, contains the current state of the Markov chain and the remaining nodes contain proposed states generated by applying the tailored proposal distribution. The Metropolis-Hastings algorithm alternates between two types of updates. The first update type is using the tailored proposal distribution to generate new states in all nodes in $G$ except in node $k$. The second update type is generating a new value for $k$, thereby changing the value of the current state. We evaluate the effectiveness of the proposed scheme in an example with previously defined target and proposal distributions.

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BibTeX RIS

Xin Luo, Håkon Tjelmeland. 2018-07-05. A multiple-try Metropolis-Hastings algorithm with tailored proposals. https://arxiv.org/abs/1807.01914

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