Parallel and interacting Markov chain Monte Carlo algorithm
Campillo F., Rakotozafy R., Rossi V.. 2009. Mathematics and Computers in Simulation, 79 (12) : p. 3424-3433.
In many situations it is important to be able to propose N independent realizations of a given distribution law. We propose a strategy for making N parallel Monte Carlo Markov chains (MCMC) interact in order to get an approximation of an independent N-sample of a given target law. In this method each individual chain proposes candidates for all other chains. We prove that the set of interacting chains is itself a MCMC method for the product of N target measures. Compared to independent parallel chains this method is more time consuming, but we show through examples that it possesses many advantages. This approach is applied to a biomass evolution model.
Mots-clés : modèle mathématique; biomasse
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