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Real-parameter evolutionary Monte Carlo with applications to Bayesian mixture models. (English) Zbl 1017.62022
Summary: We propose an evolutionary Monte Carlo algorithm to sample from a target distribution with real-valued parameters. The attractive features of the algorithm include the ability to learn from the samples obtained in previous steps and the ability to improve the mixing of a system by sampling along a temperature ladder. The effectiveness of the algorithm is examined through three multimodal examples and Bayesian neural networks. The numerical results confirm that the real-coded evolutionary algorithm is a promising general approach for simulation and optimization.

MSC:
62F15 Bayesian inference
65C05 Monte Carlo methods
65C40 Numerical analysis or methods applied to Markov chains
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