Applying diffusion-based Markov chain Monte Carlo.
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ABSTRACT:
SUBMITTER: Herbei R
PROVIDER: S-EPMC5354282 | biostudies-literature | 2017
REPOSITORIES: biostudies-literature
Publications
Applying diffusion-based Markov chain Monte Carlo.
Herbei Radu R Paul Rajib R Berliner L Mark LM
PloS one 20170316 3
We examine the performance of a strategy for Markov chain Monte Carlo (MCMC) developed by simulating a discrete approximation to a stochastic differential equation (SDE). We refer to the approach as diffusion MCMC. A variety of motivations for the approach are reviewed in the context of Bayesian analysis. In particular, implementation of diffusion MCMC is very simple to set-up, even in the presence of nonlinear models and non-conjugate priors. Also, it requires comparatively little problem-speci ...[more]
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