accelerating MCMC

I have recently [well, not so recently!] been asked to write a review paper on ways of accelerating MCMC algorithms for the [review] journal WIREs Computational Statistics and would welcome all suggestions towards the goal of accelerating MCMC algorithms. Besides [and including more on]

  • coupling strategies using different kernels and switching between them;
  • tempering strategies using flatter or lower dimensional targets as intermediary steps, e.g., à la Neal;
  • sequential Monte Carlo with particle systems targeting again flatter or lower dimensional targets and adapting proposals to this effect;
  • Hamiltonian MCMC, again with connections to Radford (and more generally ways of avoiding rejections);
  • adaptive MCMC, obviously;
  • Rao-Blackwellisation, just as obviously (in the sense that increasing the precision in the resulting estimates means less simulations).

One Response to “accelerating MCMC”

  1. R. Craiu Says:

    Maybe something on the use of antithetic and control variates.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s