Ensemble preconditioning for Markov chain Monte Carlo simulation

Charles Matthews; Jonathan Weare; Benedict Leimkuhler

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arXiv · 1607.03954

Ensemble preconditioning for Markov chain Monte Carlo simulation

Charles Matthews·Jonathan Weare·Benedict Leimkuhler

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Abstract

We describe parallel Markov chain Monte Carlo methods that propagate a collective ensemble of paths, with local covariance information calculated from neighboring replicas. The use of collective dynamics eliminates multiplicative noise and stabilizes the dynamics thus providing a practical approach to difficult anisotropic sampling problems in high dimensions. Numerical experiments with model problems demonstrate that dramatic potential speedups, compared to various alternative schemes, are attainable.

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Charles Matthews, Jonathan Weare, Benedict Leimkuhler. 2016-07-13. Ensemble preconditioning for Markov chain Monte Carlo simulation. https://arxiv.org/abs/1607.03954

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