IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v79y2009i12p3424-3433.html
   My bibliography  Save this article

Parallel and interacting Markov chain Monte Carlo algorithm

Author

Listed:
  • Campillo, Fabien
  • Rakotozafy, Rivo
  • Rossi, Vivien

Abstract

In many situations it is important to be able to propose N independent realizations of a given distribution law. We propose a strategy for making N parallel Monte Carlo Markov chains (MCMC) interact in order to get an approximation of an independent N-sample of a given target law. In this method each individual chain proposes candidates for all other chains. We prove that the set of interacting chains is itself a MCMC method for the product of N target measures. Compared to independent parallel chains this method is more time consuming, but we show through examples that it possesses many advantages. This approach is applied to a biomass evolution model.

Suggested Citation

  • Campillo, Fabien & Rakotozafy, Rivo & Rossi, Vivien, 2009. "Parallel and interacting Markov chain Monte Carlo algorithm," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(12), pages 3424-3433.
    • Handle: RePEc:eee:matcom:v:79:y:2009:i:12:p:3424-3433
    DOI: 10.1016/j.matcom.2009.04.010
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S037847540900113X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.matcom.2009.04.010?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. repec:dau:papers:123456789/6072 is not listed on IDEAS
    2. Didier Chauveau & Pierre Vandekerkhove, 2002. "Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(1), pages 13-29, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Yuting & Cournède, Paul-Henry, 2014. "Data assimilation to reduce uncertainty of crop model prediction with Convolution Particle Filtering," Ecological Modelling, Elsevier, vol. 290(C), pages 165-177.
    2. Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino, 2013. "Adaptive Sticky Generalized Metropolis," Working Papers 2013:19, Department of Economics, University of Venice "Ca' Foscari".

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tani, Massimiliano & Manuguerra, Maurizio, 2013. "The Effect of Migration and Spatial Connectivity on Regional Skill Endowments across Europe: 1988-2010," IZA Discussion Papers 7292, Institute of Labor Economics (IZA).
    2. C. Berrett & B. Gurney & D. Arthur & T. Moon & G. P. Williams, 2023. "A Bayesian change point modeling approach to identify local temperature changes related to urbanization," Environmetrics, John Wiley & Sons, Ltd., vol. 34(3), May.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:79:y:2009:i:12:p:3424-3433. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.