Driving Markov chain Monte Carlo with a dependent random stream

Details Driving Markov chain Monte Carlo with a dependent random stream Driving Markov chain Monte Carlo with a dependent random stream

2012-04-14

arxiv.org/abs/1204.3187v1

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16 pages, 4 figures

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Markov chain Monte Carlo is a widely-used technique for generating a dependent sequence of samples from complex distributions. Conventionally, these methods require a source of independent random variates. Most implementations use pseudo-random numbers instead because generating true independent variates with a physical system is not straightforward. In this paper we show how to modify some commonly used Markov chains to use a dependent stream of random numbers in place of independent uniform variates. The resulting Markov chains have the correct invariant distribution without requiring detailed knowledge of the stream's dependencies or even its marginal distribution. As a side-effect, sometimes far fewer random numbers are required to obtain accurate results.

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