A guided walk Metropolis algorithm

Abstract

The random walk Metropolis algorithm is a simple Markov chain Monte Carlo scheme which is frequently used in Bayesian statistical problems. We propose a guided walk Metropolis algorithm which suppresses some of the random walk behavior in the Markov chain. This alternative algorithm is no harder to implement than the random walk Metropolis algorithm, but empirical studies show that it performs better in terms of efficiency and convergence time.

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GUSTAFSON, P. A guided walk Metropolis algorithm. Statistics and Computing 8, 357–364 (1998). https://doi.org/10.1023/A:1008880707168

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  • Bayesian computation
  • Markov Chain Monte Carlo
  • Metropolis–Hastings algorithm