Different acceptance functions for Multiple Try Metropolis schemes

Details Different acceptance functions for Multiple Try Metropolis schemes Different acceptance functions for Multiple Try Metropolis schemes

2012-01-03

arxiv.org/abs/1201.0646v1

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The Multiple Try Metropolis method is an extension of the classical Metropolis algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In literature, a generalization of this technique has been proposed in Pandolfi et al. (2010) where the weight functions are not analytically specified. In this work, we propose different Multiple Try Metropolis schemes where the analytic form of weight functions can be chosen arbitrarily. The resulting algorithms fulfill the detailed balance condition.

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