On the flexibility of the design of multiple try Metropolis schemes

Authors:
Luca Martino;Jesse Read
Affiliations:
Department of Signal Theory and Communications, Universidad Carlos III de Madrid, Leganés, Madrid, Spain 28911;Department of Signal Theory and Communications, Universidad Carlos III de Madrid, Leganés, Madrid, Spain 28911
Venue:
Computational Statistics
Year:
2013

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Abstract

The multiple try Metropolis (MTM) method is a generalization of the classical Metropolis---Hastings algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In the literature, several extensions have been proposed. In this work, we show and remark upon the flexibility of the design of MTM-type methods, fulfilling the detailed balance condition. We discuss several possibilities, show different numerical simulations and discuss the implications of the results.