Generalized parallel tempering on Bayesian inverse problems

Jonas Latz, Juan P. Madrigal-Cianci, Fabio Nobile, Raul Tempone

Research output: Contribution to journalArticlepeer-review

Abstract

AbstractIn the current work we present two generalizations of the Parallel Tempering algorithm in the context of discrete-time Markov chain Monte Carlo methods for Bayesian inverse problems. These generalizations use state-dependent swapping rates, inspired by the so-called continuous time Infinite Swapping algorithm presented in Plattner et al. (J Chem Phys 135(13):134111, 2011). We analyze the reversibility and ergodicity properties of our generalized PT algorithms. Numerical results on sampling from different target distributions, show that the proposed methods significantly improve sampling efficiency over more traditional sampling algorithms such as Random Walk Metropolis, preconditioned Crank–Nicolson, and (standard) Parallel Tempering.
Original languageEnglish (US)
JournalStatistics and Computing
Volume31
Issue number5
DOIs
StatePublished - Aug 30 2021

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Theoretical Computer Science
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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