Bayesian Optimization for Adaptive MCMC

This paper proposes a new randomized strategy for adaptive MCMC using Bayesian optimization. This approach applies to non-differentiable objective functions and trades off exploration and exploitation to reduce the number of potentially costly objective function evaluations. We demonstrate the strategy in the complex setting of sampling from constrained, discrete and densely connected probabilistic graphical models where, for each variation of the problem, one needs to adjust the parameters of the proposal mechanism automatically to ensure efficient mixing of the Markov chains.Comment: This paper contains 12 pages and 6 figures. A similar version of this paper has been submitted to AISTATS 2012 and is currently under revie