An Adaptive Interacting Wang-Landau Algorithm for Automatic Density Exploration
| hal.structure.identifier | Department of Statistics [Vancouver] [UBC Statistics] | |
| dc.contributor.author | BORNN, Luke | |
| hal.structure.identifier | Centre de Recherche en Économie et Statistique [CREST] | |
| hal.structure.identifier | CEntre de REcherches en MAthématiques de la DEcision [CEREMADE] | |
| dc.contributor.author | JACOB, Pierre | |
| hal.structure.identifier | Advanced Learning Evolutionary Algorithms [ALEA] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| hal.structure.identifier | Dept of Statistics & Dept of Computer Science | |
| dc.contributor.author | DOUCET, Arnaud | |
| dc.date.created | 2011-09-17 | |
| dc.description.abstractEn | While 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.iso | en | |
| dc.title.en | An Adaptive Interacting Wang-Landau Algorithm for Automatic Density Exploration | |
| dc.type | Document de travail - Pré-publication | |
| dc.subject.hal | Statistiques [stat]/Calcul [stat.CO] | |
| dc.subject.hal | Statistiques [stat]/Applications [stat.AP] | |
| dc.subject.hal | Statistiques [stat]/Méthodologie [stat.ME] | |
| dc.identifier.arxiv | 1109.3829 | |
| hal.identifier | hal-00634211 | |
| hal.version | 1 | |
| hal.audience | Non spécifiée | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-00634211v1 | |
| bordeaux.COinS | ctx_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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