An Adaptive Exchange Algorithm for Sampling From Distributions With Intractable Normalizing Constants
对归一化常数难以计算的分布进行抽样的自适应交换算法
Sampling from the posterior distribution for a model whose normalizing constant is intractable is a long-standing problem in statistical research. We propose a new algorithm, adaptive auxiliary variable exchange algorithm, or, in short, adaptive exchange (AEX) algorithm, to tackle this problem. The new algorithm can be viewed as a MCMC extension of the exchange algorithm, which generates auxiliary variables via an importance sampling procedure from a Markov chain running in…