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Discussion of “Equi-energy sampler” by Kou, Zhou and Wong. (English) Zbl 1246.82051

Summary: We congratulate S. Kou, Q. Zhou and W. Wong [ibid. 34, No. 4, 1581–1619 (2006; Zbl 1246.82054)] for this beautifully written paper, which opens a new direction in Monte Carlo computation. This discussion has two parts. First, we describe a very closely related method, multicanonical sampling (MCS), and report a simulation example that compares the equi-energy (EE) sampler with MCS. Overall, we found the two algorithms to be of comparable efficiency for the simulation problem considered. In the second part, we develop some additional convergence results for the EE sampler.

MSC:

82B80 Numerical methods in equilibrium statistical mechanics (MSC2010)
65C05 Monte Carlo methods
65C40 Numerical analysis or methods applied to Markov chains
94A20 Sampling theory in information and communication theory
62F15 Bayesian inference
62D05 Sampling theory, sample surveys

Citations:

Zbl 1246.82054
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References:

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