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An Adaptive Interacting Wang-Landau Algorithm for Automatic Density Exploration

hal.structure.identifierDepartment of Statistics [Vancouver] [UBC Statistics]
dc.contributor.authorBORNN, Luke
hal.structure.identifierCentre de Recherche en Économie et Statistique [CREST]
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorJACOB, Pierre
hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
dc.contributor.authorDEL MORAL, Pierre
hal.structure.identifierDept of Statistics & Dept of Computer Science
dc.contributor.authorDOUCET, Arnaud
dc.date.created2011-09-17
dc.description.abstractEnWhile statisticians are well-accustomed to performing exploratory analysis in the modeling stage of an analysis, the notion of conducting preliminary general-purpose exploratory analysis in the Monte Carlo stage (or more generally, the model-fitting stage) of an analysis is an area which we feel deserves much further attention. Towards this aim, this paper proposes a general-purpose algorithm for automatic density exploration. The proposed exploration algorithm combines and expands upon components from various adaptive Markov chain Monte Carlo methods, with the Wang-Landau algorithm at its heart. Additionally, the algorithm is run on interacting parallel chains -- a feature which both decreases computational cost as well as stabilizes the algorithm, improving its ability to explore the density. Performance is studied in several applications. Through a Bayesian variable selection example, the authors demonstrate the convergence gains obtained with interacting chains. The ability of the algorithm's adaptive proposal to induce mode-jumping is illustrated through a trimodal density and a Bayesian mixture modeling application. Lastly, through a 2D Ising model, the authors demonstrate the ability of the algorithm to overcome the high correlations encountered in spatial models.
dc.language.isoen
dc.title.enAn Adaptive Interacting Wang-Landau Algorithm for Automatic Density Exploration
dc.typeDocument de travail - Pré-publication
dc.subject.halStatistiques [stat]/Calcul [stat.CO]
dc.subject.halStatistiques [stat]/Applications [stat.AP]
dc.subject.halStatistiques [stat]/Méthodologie [stat.ME]
dc.identifier.arxiv1109.3829
hal.identifierhal-00634211
hal.version1
hal.audienceNon spécifiée
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00634211v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.au=BORNN,%20Luke&JACOB,%20Pierre&DEL%20MORAL,%20Pierre&DOUCET,%20Arnaud&rft.genre=preprint


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