Population-based reversible jump Markov chain Monte Carlo
We present an extension of population-based Markov chain Monte Carlo to the transdimensional case. A major challenge is that of simulating from high- and transdimensional target measures. In such cases, Markov chain Monte Carlo methods may not adequately traverse the support of the target; the simul...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
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2007
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| _version_ | 1826302709507031040 |
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| author | Jasra, A Stephens, D Holmes, C |
| author_facet | Jasra, A Stephens, D Holmes, C |
| author_sort | Jasra, A |
| collection | OXFORD |
| description | We present an extension of population-based Markov chain Monte Carlo to the transdimensional case. A major challenge is that of simulating from high- and transdimensional target measures. In such cases, Markov chain Monte Carlo methods may not adequately traverse the support of the target; the simulation results will be unreliable. We develop population methods to deal with such problems, and give a result proving the uniform ergodicity of these population algorithms, under mild assumptions. This result is used to demonstrate the superiority, in terms of convergence rate, of a population transition kernel over a reversible jump sampler for a Bayesian variable selection problem. We also give an example of a population algorithm for a Bayesian multivariate mixture model with an unknown number of components. This is applied to gene expression data of 1000 data points in six dimensions and it is demonstrated that our algorithm outperforms some competing Markov chain samplers. In this example, we show how to combine the methods of parallel chains (Geyer, 1991), tempering (Geyer and Thompson, 1995), snooker algorithms (Gilks et al., 1994), constrained sampling and delayed rejection (Green and Mira, 2001). © 2007 Biometrika Trust. |
| first_indexed | 2024-03-07T05:51:40Z |
| format | Journal article |
| id | oxford-uuid:e918d67f-4331-4712-9e71-df3ae357ac11 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T05:51:40Z |
| publishDate | 2007 |
| record_format | dspace |
| spelling | oxford-uuid:e918d67f-4331-4712-9e71-df3ae357ac112022-03-27T10:51:46ZPopulation-based reversible jump Markov chain Monte CarloJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:e918d67f-4331-4712-9e71-df3ae357ac11EnglishSymplectic Elements at Oxford2007Jasra, AStephens, DHolmes, CWe present an extension of population-based Markov chain Monte Carlo to the transdimensional case. A major challenge is that of simulating from high- and transdimensional target measures. In such cases, Markov chain Monte Carlo methods may not adequately traverse the support of the target; the simulation results will be unreliable. We develop population methods to deal with such problems, and give a result proving the uniform ergodicity of these population algorithms, under mild assumptions. This result is used to demonstrate the superiority, in terms of convergence rate, of a population transition kernel over a reversible jump sampler for a Bayesian variable selection problem. We also give an example of a population algorithm for a Bayesian multivariate mixture model with an unknown number of components. This is applied to gene expression data of 1000 data points in six dimensions and it is demonstrated that our algorithm outperforms some competing Markov chain samplers. In this example, we show how to combine the methods of parallel chains (Geyer, 1991), tempering (Geyer and Thompson, 1995), snooker algorithms (Gilks et al., 1994), constrained sampling and delayed rejection (Green and Mira, 2001). © 2007 Biometrika Trust. |
| spellingShingle | Jasra, A Stephens, D Holmes, C Population-based reversible jump Markov chain Monte Carlo |
| title | Population-based reversible jump Markov chain Monte Carlo |
| title_full | Population-based reversible jump Markov chain Monte Carlo |
| title_fullStr | Population-based reversible jump Markov chain Monte Carlo |
| title_full_unstemmed | Population-based reversible jump Markov chain Monte Carlo |
| title_short | Population-based reversible jump Markov chain Monte Carlo |
| title_sort | population based reversible jump markov chain monte carlo |
| work_keys_str_mv | AT jasraa populationbasedreversiblejumpmarkovchainmontecarlo AT stephensd populationbasedreversiblejumpmarkovchainmontecarlo AT holmesc populationbasedreversiblejumpmarkovchainmontecarlo |