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- W4289358832 abstract "We introduce an ensemble Markov chain Monte Carlo approach to sampling from a probability density with known likelihood. This method upgrades an underlying Markov chain by allowing an ensemble of such chains to interact via a process in which one chain's state is cloned as another's is deleted. This effective teleportation of states can overcome issues of metastability in the underlying chain, as the scheme enjoys rapid mixing once the modes of the target density have been populated. We derive a mean-field limit for the evolution of the ensemble. We analyze the global and local convergence of this mean-field limit, showing asymptotic convergence independent of the spectral gap of the underlying Markov chain, and moreover we interpret the limiting evolution as a gradient flow. We explain how interaction can be applied selectively to a subset of state variables in order to maintain advantage on very high-dimensional problems. Finally we present the application of our methodology to Bayesian hyperparameter estimation for Gaussian process regression." @default.
- W4289358832 created "2022-08-02" @default.
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- W4289358832 date "2021-06-04" @default.
- W4289358832 modified "2023-09-27" @default.
- W4289358832 title "Ensemble Markov chain Monte Carlo with teleporting walkers" @default.
- W4289358832 doi "https://doi.org/10.48550/arxiv.2106.02686" @default.
- W4289358832 hasPublicationYear "2021" @default.
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