Conditions for Rapid Mixing of Parallel and Simulated Tempering on Multimodal Distributions
| dc.contributor.author | Woodard, DB | |
| dc.contributor.author | Schmidler, SC | |
| dc.contributor.author | Huber, M | |
| dc.date.accessioned | 2011-06-21T17:30:33Z | |
| dc.date.available | 2011-06-21T17:30:33Z | |
| dc.date.issued | 2009 | |
| dc.description.abstract | We give conditions under which a Markov chain constructed via parallel or simulated tempering is guaranteed to be rapidly mixing, which are applicable to a wide range of multimodal distributions arising in Bayesian statistical inference and statistical mechanics. We provide lower bounds on the spectral gaps of parallel and simulated tempering. These bounds imply a single set of sufficient conditions for rapid mixing of both techniques. A direct consequence of our results is rapid mixing of parallel and simulated tempering for several normal mixture models, and for the mean-field Ising model. | |
| dc.description.version | Version of Record | |
| dc.identifier.citation | Woodard,Dawn B.;Schmidler,Scott C.;Huber,Mark. 2009. Conditions for Rapid Mixing of Parallel and Simulated Tempering on Multimodal Distributions. Annals of Applied Probability 19(2): 617-640. | |
| dc.identifier.issn | 1050-5164 | |
| dc.identifier.uri | ||
| dc.language.iso | en_US | |
| dc.publisher | Institute of Mathematical Statistics | |
| dc.relation.isversionof | 10.1214/08-AAP555 | |
| dc.relation.journal | Annals of Applied Probability | |
| dc.subject | markov chain monte carlo | |
| dc.subject | tempering | |
| dc.subject | rapidly mixing markov chains | |
| dc.subject | spectral gap | |
| dc.subject | metropolis algorithm | |
| dc.subject | markov-chains | |
| dc.subject | monte-carlo | |
| dc.subject | convergence | |
| dc.subject | statistics & probability | |
| dc.title | Conditions for Rapid Mixing of Parallel and Simulated Tempering on Multimodal Distributions | |
| dc.title.alternative | ||
| dc.type | Other article | |
| duke.date.pubdate | 2009-4-0 | |
| duke.description.issue | 2 | |
| duke.description.volume | 19 | |
| pubs.begin-page | 617 | |
| pubs.end-page | 640 |