%0 Journal Article %1 goodman_ensemble_2010 %A Goodman, Jonathan %A Weare, Jonathan %D 2010 %J Communications in Applied Mathematics and Computational Science %K Carlo, Markov Monte Sampler chain ensemble, %N 1 %P 65 -- 80 %T Ensemble samplers with affine invariance %U http://msp.berkeley.edu/camcos/2010/5-1/camcos-v5-n1-p04-p.pdf %V 5 %X We propose a family of Markov chain Monte Carlo methods whose performance is unaffected by affine tranformations of space. These algorithms are easy to construct and require little or no additional computational overhead. They should be particularly useful for sampling badly scaled distributions. Computational tests show that the affine invariant methods can be significantly faster than standard MCMC methods on highly skewed distributions.

@article{goodman_ensemble_2010, abstract = {We propose a family of Markov chain Monte Carlo methods whose performance is unaffected by affine tranformations of space. These algorithms are easy to construct and require little or no additional computational overhead. They should be particularly useful for sampling badly scaled distributions. Computational tests show that the affine invariant methods can be significantly faster than standard MCMC methods on highly skewed distributions.}, added-at = {2017-01-09T13:57:26.000+0100}, author = {Goodman, Jonathan and Weare, Jonathan}, biburl = {https://www.bibsonomy.org/bibtex/2a498b35d2f1ee6059aac40ba2eed0feb/yourwelcome}, interhash = {02ec44160c1bbf162e70c8f919187435}, intrahash = {a498b35d2f1ee6059aac40ba2eed0feb}, journal = {Communications in Applied Mathematics and Computational Science}, keywords = {Carlo, Markov Monte Sampler chain ensemble,}, number = 1, pages = {65 -- 80}, shorttitle = {Comm. {App}. {Math}. and {Comp}. {Sci}.}, timestamp = {2017-01-09T14:01:11.000+0100}, title = {Ensemble samplers with affine invariance}, url = {http://msp.berkeley.edu/camcos/2010/5-1/camcos-v5-n1-p04-p.pdf}, urldate = {2012-02-19}, volume = 5, year = 2010 }