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UBC Theses and Dissertations

Bayesian optimization for adaptive MCMC Mahendran, Nimalan


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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