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Bayesian optimization for adaptive MCMC Mahendran, Nimalan
Abstract
A new randomized strategy for adaptive Markov chain Monte Carlo (MCMC) using Bayesian optimization, called Bayesian-optimized MCMC, is proposed. This approach can handle non-differentiable objective functions and trades off exploration and exploitation to reduce the number of function evaluations. Bayesian-optimized MCMC is applied to the complex setting of sampling from constrained, discrete and densely connected probabilistic graphical models where, for each variation of the problem, one needs to adjust the parameters of the proposal mechanism automatically to ensure efficient mixing of the Markov chains. It is found that Bayesian-optimized MCMC is able to match or surpass manual tuning of the proposal mechanism by a domain expert.
Item Metadata
| Title |
Bayesian optimization for adaptive MCMC
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| Creator | |
| Publisher |
University of British Columbia
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| Date Issued |
2011
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| Description |
A new randomized strategy for adaptive Markov chain Monte Carlo (MCMC) using Bayesian optimization, called Bayesian-optimized MCMC, is proposed. This approach can handle non-differentiable objective functions and trades off exploration and exploitation to reduce the number of function evaluations. Bayesian-optimized MCMC is applied to the complex setting of sampling from constrained, discrete and densely connected probabilistic graphical models where, for each variation of the problem, one needs to adjust the parameters of the proposal mechanism automatically to ensure efficient mixing of the Markov chains. It is found that Bayesian-optimized MCMC is able to match or surpass manual tuning of the proposal mechanism by a domain expert.
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| Genre | |
| Type | |
| Language |
eng
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| Date Available |
2011-01-14
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| Provider |
Vancouver : University of British Columbia Library
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| Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
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| DOI |
10.14288/1.0052032
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| URI | |
| Degree | |
| Program | |
| Affiliation | |
| Degree Grantor |
University of British Columbia
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| Graduation Date |
2011-05
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| Campus | |
| Scholarly Level |
Graduate
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| Rights URI | |
| Aggregated Source Repository |
DSpace
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Rights
Attribution-NonCommercial-NoDerivatives 4.0 International