Adaptive Metropolis Sampling with Product Distributions

Abstract

The Metropolis-Hastings (MH) algorithm is a way to sample a provided target distribution pi(z). It works by repeatedly sampling a separate proposal distribution T(x,x') to generate a random walk {x(t)}. We consider a modification of the MH algorithm in which T is dynamically updated during the walk. The update at time t uses the {x(t' less than t)} to estimate the product distribution that has the least Kullback-Leibler distance to pi. That estimate is the information-theoretically optimal mean-field approximation to pi. We demonstrate through computer experiments that our algorithm produces samples that are superior to those of the conventional MH algorithm.