Statisfaction

Update on the parallel IMH article

Posted in Statistics by Pierre Jacob on 17 March 2011

Hey,

Last October, I blogged about an article written by Christian P. Robert, Murray Smith and myself about parallel computation, Independent Metropolis-Hastings and Rao-Blackwellization.

The article advocates the use of parallel computation and the method described, called “block IMH”, can be done fully in parallel, which makes the whole thing pretty much costless compared to standard Independent Metropolis-Hastings, while significantly decreasing the variance of any estimator based on the generated Markov Chain.

Just a quick update: since then, the reviewers from JCGS got back to us with useful comments and we made a second version, available on arXiv as well. It’s hopefully clearer and the graphs are more compact and informative (thank you, my dear dear ggplot2 package).

Also I’ve put the code online on Google Code:

https://code.google.com/p/py-block-imh/

It’s not a very user-friendly package, still it allows to reproduce the graphs shown in the article and would perhaps help people who want to try the method out!

One Response

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  1. […] a quickly expanding area that I’ve blogged about here. Xian and I are going to talk about Parallel IMH and Parallel Wang Landau. We’ll be able to interact with top researchers in methodological […]


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