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- Newsgroups: sci.math.stat
- Path: sparky!uunet!mcsun!ub4b!news.cs.kuleuven.ac.be!maurits
- From: maurits@cs.kuleuven.ac.be (Maurits Malfait)
- Subject: Metropolis sampler
- Message-ID: <1993Jan7.120831.11046@cs.kuleuven.ac.be>
- Keywords: Metropolis sampler
- Sender: news@cs.kuleuven.ac.be
- Nntp-Posting-Host: escher.cs.kuleuven.ac.be
- Organization: Dept. Computerwetenschappen K.U.Leuven
- Date: Thu, 7 Jan 1993 12:08:31 GMT
- Lines: 41
-
- We are working on an algorithm that incorporates a Metropolis
- sampler (*). Therefore we are interested in references and
- information concerning:
-
- 1. The convergence properties of a Metropolis sampler:
- - when is the starting state of a Metropolis sampler
- 'forgotten'?
- - how fast and how good does the sampler approximate the
- Boltzmann distribution?
- 2. Variants of the Metropolis algorithm and recent developments.
- 3. Possibilities to accelerate a Metropolis sampler.
-
- Concerning the 3rd question, we know of approaches by Aarts and
- Van Laarhoven to parallelize simulated annealing known as
- systolic and clustered algorithms. These might be applied to the
- Metropolis sampler running on one fixed temperature. Other
- approaches distribute the generation of new states of one sampler
- among processors but have a speed-up that depends on the
- temperature. We prefer to avoid this.
-
- Thankyou in advance for any references and hints; please e-mail
- your reply to me: maurits@cs.kuleuven.ac.be.
-
- (*) A Metropolis sampler generates a sequence of states such that
- the frequency of the states in this chain is proportional to
- their probability in a given Boltzmann distribution. Metropolis
- samplers are often used to simulate the equilibrium distribution
- in the inner loop of simulated annealing. We are interested in
- the distribution at just one fixed temperature, whereas in
- simulated annealing one decreases the temperature in the outer
- loop.
-
- Maurits Malfait
- --
- +-----------------------------------+--------------------------------+
- | Email: na.malfait@na-net.ornl.gov | Maurits Malfait |
- | or, preferably | Katholieke Universiteit Leuven |
- | Maurits.Malfait@cs.kuleuven.ac.be | Department of Computer Science |
- | Phone: + 32 16 201015 x3080 | Celestijnenlaan 200A |
- | Fax: + 32 16 205308 | B-3001 Leuven (Belgium-Europe) |
- +-----------------------------------+--------------------------------+
-