MCMC for doubly-intractable distributions
Iain Murray, Zoubin Ghahramani and David J.C. MacKay
In: UAI 2006, 13-16 Jul 2006, Cambridge, MA, USA.
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are additional parameter-dependent normalization terms; for example, the posterior over parameters of an undirected graphical model. An ingenious auxiliary-variable scheme (Moeller, 2004) offers a solution: exact sampling (Propp and Wilson, 1996) is used to sample from a Metropolis-Hastings proposal for which the acceptance probability is tractable. Unfortunately the acceptance probability of these expensive updates can be low. This paper provides a generalization of Moeller (2004) and a new MCMC algorithm, which obtains better acceptance probabilities for the same amount of exact sampling, and removes the need to estimate model parameters before sampling begins.
|EPrint Type:||Conference or Workshop Item (Paper)|
|Project Keyword:||Project Keyword UNSPECIFIED|
|Subjects:||Theory & Algorithms|
|Deposited By:||Iain Murray|
|Deposited On:||24 June 2006|