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. B...
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| Language: | English |
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University of British Columbia
2011
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| Online Access: | http://hdl.handle.net/2429/30636 |