A multi-point Metropolis scheme with generic weight functions

Details A multi-point Metropolis scheme with generic weight functions A multi-point Metropolis scheme with generic weight functions

2011-12-17

arxiv.org/abs/1112.4048v2

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The multi-point Metropolis algorithm of Qin and Liu (2001) is an advanced
MCMC technique based on drawing several correlated samples at each step and
choosing one of them according to some normalized weights. We propose a
variation of this technique where the weight functions are not specified, i.e.,
the analytic form can be chosen arbitrarily.

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