Abstract
The real-parameter evolutionary Monte Carlo algorithm (EMC) has been proposed as an effective tool both for sampling from high-dimensional distributions and for stochastic optimization (Liang and Wong, 2001). EMC uses a temperature ladder similar to that in parallel tempering (PT; Geyer, 1991). In contrast with PT, EMC allows for crossover moves between parallel and tempered MCMC chains. In the context of EMC, we introduce four new moves, which enhance its efficiency as measured by the effective sample size. Secondly, we introduce a practical strategy for determining the temperature range and placing the temperatures in the ladder used in EMC and PT. Lastly, we prove the validity of the conditional sampling step of the snooker algorithm, a crossover move in EMC, which extends a result of Roberts and Gilks (1994).
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Goswami, G., Liu, J.S. On learning strategies for evolutionary Monte Carlo. Stat Comput 17, 23–38 (2007). https://doi.org/10.1007/s11222-006-9002-y
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DOI: https://doi.org/10.1007/s11222-006-9002-y