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  • Search: subject:"Auxiliary random variables"
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Auxiliary random variables 1 Correlated proposals 1 Diffusion 1 Random walk Metropolis 1 Weak convergence 1
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Bédard, Mylène 1 Douc, Randal 1 Moulines, Eric 1
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Stochastic Processes and their Applications 1
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Scaling analysis of multiple-try MCMC methods
Bédard, Mylène; Douc, Randal; Moulines, Eric - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 758-786
Multiple-try methods are extensions of the Metropolis algorithm in which the next state of the Markov chain is selected among a pool of proposals. These techniques have witnessed a recent surge of interest because they lend themselves easily to parallel implementations. We consider extended...
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