The Barker proposal: combining robustness and efficiency in gradient-based MCMC

11 May 2020 Livingstone Samuel Zanella Giacomo

There is a tension between robustness and efficiency when designing Markov chain Monte Carlo (MCMC) sampling algorithms. Here we focus on robustness with respect to tuning parameters, showing that more sophisticated algorithms tend to be more sensitive to the choice of step-size parameter and less robust to heterogeneity of the distribution of interest... (read more)

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  • COMPUTATION
  • METHODOLOGY