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• W2886379631 abstract "Simulated tempering is a popular method of allowing MCMC algorithms to move between modes of a multimodal target density $$pi $$. One problem with simulated tempering for multimodal targets is that the weights of the various modes change for different inverse-temperature values, sometimes dramatically so. In this paper, we provide a fix to overcome this problem, by adjusting the mode weights to be preserved (i.e. constant) over different inverse-temperature settings. We then apply simulated tempering algorithms to multimodal targets using our mode weight correction. We present simulations in which our weight-preserving algorithm mixes between modes much more successfully than traditional tempering algorithms. We also prove a diffusion limit for an version of our algorithm, which shows that under appropriate assumptions, our algorithm mixes in time $$O(d [log d]^2)$$." @default.
• W2886379631 created "2018-08-22" @default.
• W2886379631 creator A5024206886 @default.
• W2886379631 creator A5064442983 @default.
• W2886379631 creator A5077911233 @default.
• W2886379631 date "2019-03-02" @default.
• W2886379631 modified "2023-09-27" @default.
• W2886379631 title "Weight-preserving simulated tempering" @default.
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• W2886379631 doi "https://doi.org/10.1007/s11222-019-09863-3" @default.
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