Multi-marginal couplings combined with an adaptive shared-randomness Poisson Monte Carlo method improve coalescence rates for multiple Metropolis-Hastings chains, cutting meeting times by up to 50%.
Studying convergence of markov chain monte carlo algorithms using coupled sample paths.Journal of the American Statistical Association, 91(433):154–166
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Multi-Marginal Couplings for Metropolis-Hastings
Multi-marginal couplings combined with an adaptive shared-randomness Poisson Monte Carlo method improve coalescence rates for multiple Metropolis-Hastings chains, cutting meeting times by up to 50%.