Seminar Details

Seminar Details


Apr 27

3:30 pm

Self-Targeting Candidates for Metropolis-Hastings Algorithms

R.L. Tweedie & O. Stramer


Colorado State University & University of Iowa

The Metropolis-Hastings algorithm for estimating a distribution π is based on choosing a candidate Markov chain and then accepting or rejecting moves of the candidate to produce a chain known to have π as the invariant measure. The traditional methods use candidates essentially unconnected to π. Based on diffusions for which π is invariant (such as Langevin diffusions), we develop for one-dimensional distributions a class of candidate distributions that "self-target" towards the high density areas of π. These produce Metropolis-Hastings algorithms with convergence rates that appear to be considerably better than those known for the traditional candidate choices, such as random walk.

In particular, for wide classes of π these choices may effectively help reduce the "burn-in" problem. We illustrate this behaviour for examples with exponential and polynomial tails, and for a logistic regression model using a Gibbs sampling algorithm.