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Author  |
Campillo, F.; Rakotozafy, R.; Rossi, V. | ||||
| Title | Parallel and interacting Markov chain Monte Carlo algorithm | Type | Journal Article | ||
| Year | 2009 | Publication | Mathematics and Computers in Simulation | Abbreviated Journal | Math. Comput. Simul. |
| Volume | 79 | Issue | 12 | Pages | 3424-3433 |
| Keywords | Markov chain Monte Carlo method; Interacting chains; Hidden Markov model | ||||
| 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. (C) 2009 IMACS. Published by Elsevier B.V. All rights reserved. | ||||
| Address | [Rossi, Vivien] CIRAD, Res Unit, Montpellier, France, Email: Fabien.Campillo@inria.fr | ||||
| Corporate Author | Thesis | ||||
| Publisher | ELSEVIER SCIENCE BV | Place of Publication | Editor | ||
| Language | Summary Language | Original Title | |||
| Series Editor | Series Title | Abbreviated Series Title | |||
| Series Volume | Series Issue | Edition | |||
| ISSN | 0378-4754 | ISBN | Medium | ||
| Area | Expedition | Conference | |||
| Notes | ISI:000269289100006 | Approved | no | ||
| Call Number | EcoFoG @ eric.marcon @ | Serial | 197 | ||
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