I spent time today talking with Goodman more about his (with Weare) ensemble samplers. He points out that if you have two ensembles, you have a lot of freedom for using one ensemble to inform the proposal distribution for the other ensemble. This could permit non-trivial density modeling of the one ensemble to help sample efficiently the other ensemble. We discussed the possible implications of this for multi-modal probability distribution functions and I am optimistic that we could make a very efficient next-generation sampler. This is all about proposal distribution of course; there are lots of things people want samplers to do; we are concentrating on those things that make the autocorrelation time short or the number of independent samples per likelihood call high.
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