
arXiv: 1808.10415
AbstractIt is well known that traditional Markov chain Monte Carlo (MCMC) methods can fail to effectively explore the state space for multimodal problems. Parallel tempering is a well-established population approach for such target distributions involving a collection of particles indexed by temperature. However, this method can suffer dramatically from the curse of dimensionality. In this paper we introduce an improvement on parallel tempering called QuanTA. A comprehensive theoretical analysis quantifying the improved efficiency and scalability of the approach is given. Under weak regularity conditions, QuanTA gives accelerated mixing through the temperature space. Empirical evidence of the effectiveness of this new algorithm is illustrated on canonical examples.
FOS: Computer and information sciences, multimodal, Methodology, Monte Carlo methods, accelerated MCMC, parallel tempering, population MCMC, Methodology (stat.ME), Markov chain Monte Carlo, Computational methods in Markov chains, Computational methods for problems pertaining to probability theory, QA, metropolis-coupled MCMC
FOS: Computer and information sciences, multimodal, Methodology, Monte Carlo methods, accelerated MCMC, parallel tempering, population MCMC, Methodology (stat.ME), Markov chain Monte Carlo, Computational methods in Markov chains, Computational methods for problems pertaining to probability theory, QA, metropolis-coupled MCMC
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