2011-09-27

ensemble sampling

Foreman-Mackey and I started work on—and Goodman and I discussed—next-generation ensemble samplers, that update a pair of ensembles in a leapfrog fashion. I still haven't completely understood the rules, but it appears that as long as at every step we satisfy detailed balance, we are fine. If this is true, then I have an intuition that we can design a new sampler with incredible performance on non-trivial probability distribution functions.

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