Metropolis-Hastings Algorithm with Delayed Acceptance and Rejection

• 作者: Yayong Tang Yulin Hu
• 来源期刊: 教育理论综述(英文)
• 学科: 社会科学
• 关键词: METROPOLIS-HASTINGS ALGORITHM DELAYED ACCEPTANCE DELAYED REJECTION
• 年，卷（期）: 2019,（2）
• 页码范围: 7-11
• 页数: 5页
• 分类号: G

摘要

Metropolis-Hastings algorithms are slowed down by the computation of complex target distributions. To solve this problem, one can use the delayed acceptance Metropolis-Hastings algorithm (MHDA) of Christen and Fox (2005). However, the acceptance rate of a proposed value will always be less than in the standard Metropolis-Hastings. We can fix this problem by using the Metropolis-Hastings algorithm with delayed rejection (MHDR) proposed by Tierney and Mira (1999). In this paper, we combine the ideas of MHDA and MHDR to propose a new MH algorithm, named the Metropolis-Hastings algorithm with delayed acceptance and rejection (MHDAR). The new algorithm reduces the computational cost by division of the prior or likelihood functions and increase the acceptance probability by delay rejection of the second stage. We illustrate those accelerating features by a realistic example.