Bayesian Generalised Ensemble Markov Chain Monte Carlo


Jes Frellsen, Ole Winther, Zoubin Ghahramani, Jesper Ferkinghoff-Borg ;
Proceedings of the 19th International Conference on Artificial Intelligence and Statistics, PMLR 51:408-416, 2016.


Bayesian generalised ensemble (BayesGE) is a new method that addresses two major drawbacks of standard Markov chain Monte Carlo algorithms for inference in high-dimensional probability models: inapplicability to estimate the partition function and poor mixing properties. BayesGE uses a Bayesian approach to iteratively update the belief about the density of states (distribution of the log likelihood under the prior) for the model, with the dual purpose of enhancing the sampling efficiency and making the estimation of the partition function tractable. We benchmark BayesGE on Ising and Potts systems and show that it compares favourably to existing state-of-the-art methods.

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