Adaptive MCMC with Bayesian Optimization
This paper proposes a new randomized strategy for adaptive MCMC using Bayesian optimization. This approach applies to non-differentiable objective functions and trades off exploration and exploitation to reduce the number of potentially costly objective function evaluations. We demonstrate the strat...
| Auteurs principaux: | , , , |
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| Format: | Journal article |
| Publié: |
2012
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