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Ensemble samplers with affine invariance. (English) Zbl 1189.65014

Summary: We propose a family of Markov chain Monte Carlo (MCMC) 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.

MSC:

65C05 Monte Carlo methods
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