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A New Technique for Sampling Multi-Modal Distributions

K. J. Abraham·L. M. Haines
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Abstract

In this paper we demonstrate that multi-modal Probability Distribution Functions (PDFs) may be efficiently sampled using an algorithm originally developed for numerical integrations by Monte-Carlo methods. This algorithm can be used to generate an input PDF which can be used as an independence sampler in a Metropolis-Hastings chain to sample otherwise troublesome distributions.Some examples in one two and five dimensions are worked out.

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K. J. Abraham, L. M. Haines. 1999-03-30. A New Technique for Sampling Multi-Modal Distributions. https://doi.org/10.1006/jcph.1999.6343

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