Adaptation of the Independent Metropolis-Hastings Sampler with Normalizing Flow Proposals.

ABSTRACT: Markov Chain Monte Carlo (MCMC) methods are a powerful tool for computation with complex probability distributions. However the performance of such methods is critically dependent on properly tuned parameters, most of which are difficult if not impossible to know a priori for a given target distribution. Adaptive MCMC methods aim to address this by allowing the parameters to be updated during sampling based on previous samples from the chain at the expense of requiring a new theoretical analysis to ensure convergence. In this work we extend the convergence theory of adaptive MCMC methods to a new class of methods built on a powerful class of parametric density estimators known as normalizing flows. In particular, we consider an independent Metropolis-Hastings sampler where the proposal dis

SUBMITTER: Brofos JA 

PROVIDER: S-EPMC9923871 | biostudies-literature | 2022 Mar

REPOSITORIES: biostudies-literature