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arxiv: 0906.2341 · v1 · submitted 2009-06-12 · 🧮 math.PR

Conditions for rapid mixing of parallel and simulated tempering on multimodal distributions

classification 🧮 math.PR
keywords mixingparallelsimulatedtemperingconditionsrapidboundsdistributions
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We give conditions under which a Markov chain constructed via parallel or simulated tempering is guaranteed to be rapidly mixing, which are applicable to a wide range of multimodal distributions arising in Bayesian statistical inference and statistical mechanics. We provide lower bounds on the spectral gaps of parallel and simulated tempering. These bounds imply a single set of sufficient conditions for rapid mixing of both techniques. A direct consequence of our results is rapid mixing of parallel and simulated tempering for several normal mixture models, and for the mean-field Ising model.

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