Divide and Conquer: A Mixture-Based Approach to Regional Adaptation for MCMC

Yan Bai, Radu V. Craiu, Antonio F. Di Narzo
2011 Journal of Computational And Graphical Statistics  
Recent advances in adaptive Markov chain Monte Carlo (AMCMC) include the need for regional adaptation in situations when the optimal transition kernel is different across different regions of the sample space. Motivated by these findings, we propose a mixture-based approach to determine the partition needed for regional AMCMC. The mixture model is fitted using an online EM algorithm (see Andrieu and Moulines, 2006) which allows us to bypass simultaneously the heavy computational load and to
more » ... nal load and to implement the regional adaptive algorithm with online recursion (RAPTOR). The method is tried on simulated as well as real data examples.
doi:10.1198/jcgs.2010.09035 fatcat:sdfzpdw3krg5vhqip5do365e2u