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Neural Computation

A Monte Carlo Metropolis-Hastings Algorithm for Sampling from Distributions with Intractable Normalizing Constants

Faming Liang

Department of Statistics, Texas A&M University, College Station, TX 77843, U.S.A.

Ick-Hoon Jin

Department of Biostatistics, University of Texas, M. D. Anderson Cancer Center, Houston, TX 77030, U.S.A.

*Liang is Professor, Department of Statistics, Texas A&M University, College Station, TX 77843-3143. Tel: (979)-845-8885; email: . Jin is Postdoctoral Fellow, Department of Biostatistics, The University of Texas MD Anderson Cancer Center, Houston, TX 77030-4009, USA; email: .

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Simulating from distributions with intractable normalizing constants has been a long-standing problem in machine learning. In this letter, we propose a new algorithm, the Monte Carlo Metropolis-Hastings (MCMH) algorithm, for tackling this problem. The MCMH algorithm is a Monte Carlo version of the Metropolis-Hastings algorithm. It replaces the unknown normalizing constant ratio by a Monte Carlo estimate in simulations, while still converges, as shown in the letter, to the desired target distribution under mild conditions. The MCMH algorithm is illustrated with spatial autologistic models and exponential random graph models. Unlike other auxiliary variable Markov chain Monte Carlo (MCMC) algorithms, such as the Møller and exchange algorithms, the MCMH algorithm avoids the requirement for perfect sampling, and thus can be applied to many statistical models for which perfect sampling is not available or very expensive. The MCMH algorithm can also be applied to Bayesian inference for random effect models and missing data problems that involve simulations from a distribution with intractable integrals.

Cited by

Faming Liang, Jinsu Kim, Qifan Song. (2016) A Bootstrap Metropolis–Hastings Algorithm for Bayesian Analysis of Big Data. Technometrics 58:3304-318.
Online publication date: 8-Jul-2016.
CrossRef
Faming Liang, Ick Hoon Jin, Qifan Song, Jun S. Liu. (2016) An Adaptive Exchange Algorithm for Sampling From Distributions With Intractable Normalizing Constants. Journal of the American Statistical Association 111:513377-393.
Online publication date: 5-May-2016.
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Joseph G. Ibrahim, Ming-Hui Chen, Yeongjin Gwon, Fang Chen. (2015) The power prior: theory and applications. Statistics in Medicine 34:283724-3749.
Online publication date: 7-Sep-2015.
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Wenye Yin, Weiji He, Guohua Gu, Qian Chen. (2014) Approach for LIDAR signals with multiple returns. Applied Optics 53:306963.
Online publication date: 14-Oct-2014.
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Faming Liang. (2014) An Overview of Stochastic Approximation Monte Carlo. Wiley Interdisciplinary Reviews: Computational Statistics 6:4240-254.
Online publication date: 9-Jun-2014.
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