Adaptive Metropolis with online relabeling

R. Bardenet 1, 2 O. Cappé 3 Gersende Fort 3 Balázs Kégl 4, 5, 1
1 TAO - Machine Learning and Optimisation
LRI - Laboratoire de Recherche en Informatique, UP11 - Université Paris-Sud - Paris 11, Inria Saclay - Ile de France, CNRS - Centre National de la Recherche Scientifique : UMR8623
2 Appstat
LAL - Laboratoire de l'Accélérateur Linéaire, LRI - Laboratoire de Recherche en Informatique
Abstract : We propose a novel adaptive MCMC algorithm named AMOR for efficiently simulating from permutation-invariant targets occurring in, for example, Bayesian analysis of mixture models.
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R. Bardenet, O. Cappé, Gersende Fort, Balázs Kégl. Adaptive Metropolis with online relabeling. Fifteenth International Conference on Artificial Intelligence and Statistics, Apr 2012, La Palma, Spain. pp.91-99. ⟨in2p3-00698479⟩

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