Parallel tempering, also known as replica exchange MCMC sampling, is a simulation method aimed at improving the dynamic properties of Monte Carlo method simulations of physical systems, and of Markov chain Monte Carlo (MCMC) sampling methods more generally.
Questions tagged [parallel-tempering]
4 questions
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Is it correct to perform multiple swaps simultaneously in Parallel Tempering?
In Parallel Tempering, after every $N_{swap}$ iterations of running Metropolis method, we randomly select a temperature $T_i$ and swap its configuration with $T_{i+1}$ with a probability min(1, exp (∆β∆E)). However, if I were to select a set of…
Santo
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Selecting the number of replicas / temperatures in parallel tempering MCMC
There are a few strategies for selecting the values of the temperatures (or betas, where $\beta=1/T$) in a parallel tempering MCMC (geometric, adaptive, aimed at a 0.234 temperature swap acceptance rate). What I have not found is a strategy for…
Gabriel
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How worried should I be about low acceptance rate in cold chain (parallel tempering MCMC sampler)
I have a very noisy/multimodal likelihood function for a 6-parameter model. The popular emcee sampler fails miserably (no matter how many chains I use and for how long I run them, they always get stuck in local minima), but its parallel-tempered…
Gabriel
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Multiple Importance Sampling and Metropolis-Hastings on extended state space
Let
$(E,\mathcal E,\lambda),(E',\mathcal E',\lambda')$ be measure spaces
$k\in\mathbb N$
$p,q_1,\ldots,q_k:E\to(0,\infty)$ be probability densities on $(E,\mathcal E,\lambda)$
$w_1,\ldots,w_k:E\to[0,1]$ with…
0xbadf00d
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