Parallel and interacting Markov chains Monte Carlo method

Details Parallel and interacting Markov chains Monte Carlo method Parallel and interacting Markov chains Monte Carlo method

2006-10-05

arxiv.org/abs/math/0610181v1

Mathematics

Probability

Scientific paper

In many situations it is important to be able to propose $N$ independent realizations of a given distribution law. We propose a strategy for making $N$ parallel Monte Carlo Markov Chains (MCMC) interact in order to get an approximation of an independent $N$-sample of a given target law. In this method each individual chain proposes candidates for all other chains. We prove that the set of interacting chains is itself a MCMC method for the product of $N$ target measures. Compared to independent parallel chains this method is more time consuming, but we show through concrete examples that it possesses many advantages: it can speed up convergence toward the target law as well as handle the multi-modal case.

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