On the flexibility of the design of multiple try Metropolis schemes
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- Martino, L. & Read, J. Comput Stat (2013) 28: 2797. doi:10.1007/s00180-013-0429-2
The multiple try Metropolis (MTM) method is a generalization of the classical Metropolis–Hastings algorithm in which the next state of the chain is chosen among a set of samples, according to normalized weights. In the literature, several extensions have been proposed. In this work, we show and remark upon the flexibility of the design of MTM-type methods, fulfilling the detailed balance condition. We discuss several possibilities, show different numerical simulations and discuss the implications of the results.