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| Presentation | 2011-11-09 15:45 Adaptive Markov Chain Monte Carlo for Auxiliary Variable Method and Its Application to Exchange Monte Carlo Method Takamitsu Araki, Takashi Takenouchi, Kazushi Ikeda (NAIST)  IBISML2011-47 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | For sampling from a complicated distribution, Auxiliary Variable Method, which contain Exchange Monte Carlo Method and Cluster Monte Carlo Method, etc, is quite efficient. Auxiliary Variable Method is highly dependent on the properties of auxiliary distributions. Therefore we have to configure the appropriate parameters of auxiliary distributions. In this paper, we propose the adaptive algorithm that learn good parameters of proposal and auxiliary distributions while they generate samples from the target distribution and prove convergence of the adaptive algorithm. Particularly we extend Exchange Monte Carlo Method to the adaptive algorithm that simultaneously learn parameters of proposal distributions and inverse temperature parameters by applying the adaptive algorithm for Auxiliary Variable Method. We also prove convergence of this algorithm. We validate the effectiveness of this algorithm via an numerical experiment. | |
| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | Adaptive Markov Chain Monte Carlo / Auxiliary Variable Method / Exchange Monte Carlo Method / Convergence in distribution / / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 111, no. 275, IBISML2011-47, pp. 33-38, Nov. 2011. | |
| Paper # | IBISML2011-47 | |
| Date of Issue | 2011-11-02 (IBISML) | |
| ISSN | Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 | |
| Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) | |
| Download PDF | IBISML2011-47 |
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| Conference Information | |
| Committee | IBISML |
| Conference Date | 2011-11-09 - 2011-11-11 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Nara Womens Univ. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | The 14th IBIS workshop |
| Paper Information | |
| Registration To | IBISML |
| Conference Code | 2011-11-IBISML |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Adaptive Markov Chain Monte Carlo for Auxiliary Variable Method and Its Application to Exchange Monte Carlo Method |
| Sub Title (in English) | |
| Keyword(1) | Adaptive Markov Chain Monte Carlo |
| Keyword(2) | Auxiliary Variable Method |
| Keyword(3) | Exchange Monte Carlo Method |
| Keyword(4) | Convergence in distribution |
| Keyword(5) | |
| Keyword(6) | |
| Keyword(7) | |
| Keyword(8) | |
| 1st Author's Name | Takamitsu Araki |
| 1st Author's Affiliation | Nara Institute of Science and Technology (NAIST) |
| 2nd Author's Name | Takashi Takenouchi |
| 2nd Author's Affiliation | Nara Institute of Science and Technology (NAIST) |
| 3rd Author's Name | Kazushi Ikeda |
| 3rd Author's Affiliation | Nara Institute of Science and Technology (NAIST) |
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| Speaker | Author-1 |
| Date Time | 2011-11-09 15:45:00 |
| Presentation Time | 180 minutes |
| Registration for | IBISML |
| Paper # | IBISML2011-47 |
| Volume (vol) | vol.111 |
| Number (no) | no.275 |
| Page | pp.33-38 |
| #Pages | 6 |
| Date of Issue | 2011-11-02 (IBISML) |
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