6 research outputs found
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
Bayesian optimization for adaptive MCMC
A new randomized strategy for adaptive Markov chain Monte Carlo (MCMC) using Bayesian optimization, called Bayesian-optimized MCMC, is proposed. This approach can handle non-differentiable objective functions and trades off exploration and exploitation to reduce the number of function evaluations. Bayesian-optimized MCMC is applied to 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. It is found that Bayesian-optimized MCMC is able to match or surpass manual tuning of the proposal mechanism by a domain expert.Science, Faculty ofComputer Science, Department ofGraduat
Adaptive MCMC with Bayesian Optimization
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
Adaptive MCMC with Bayesian Optimization
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