Population-based reversible jump Markov chain Monte Carlo

• 成果类型: Article
• 署名作者: Jasra, Ajay; Stephens, David A.; Holmes, Christopher C.
• 署名单位: Imperial College London; McGill University; University of Oxford
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asm069
• 发表日期: 2007
• 页码: 787807
• 关键词: unknown number; bayesian-analysis; mixture-models; components; inference; hastings; distributions; CONVERGENCE; algorithms; samplers

摘要

We present an extension of population-based Markov chain Monte Carlo to the transdimensional case. A major challenge is that of simulating from high- and transdimensional target measures. In such cases, Markov chain Monte Carlo methods may not adequately traverse the support of the target; the simulation results will be unreliable. We develop population methods to deal with such problems, and give a result proving the uniform ergodicity of these population algorithms, under mild assumptions. This result is used to demonstrate the superiority, in terms of convergence rate, of a population transition kernel over a reversible jump sampler for a Bayesian variable selection problem. We also give an example of a population algorithm for a Bayesian multivariate mixture model with an unknown number of components. This is applied to gene expression data of 1000 data points in six dimensions and it is demonstrated that our algorithm outperforms some competing Markov chain samplers. In this example, we show how to combine the methods of parallel chains (Geyer, 1991), tempering (Geyer & Thompson, 1995), snooker algorithms (Gilks et al., 1994), constrained sampling and delayed rejection (Green & Mira, 2001).