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            Parallel tempering with a variational reference
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            Parallel tempering with a variational reference

            Nov 28, 2022

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            Nikola Surjanovic

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            Saifuddin Syed

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            Alexandre Bouchard-Côté

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            About

            Sampling from complex target distributions is a challenging task fundamental to Bayesian inference. Parallel tempering (PT) addresses this problem by constructing a Markov chain on the expanded state space of a sequence of distributions interpolating between the posterior distribution and a fixed reference distribution, which is typically chosen to be the prior. However, in the typical case where the prior and posterior are nearly mutually singular, PT methods are computationally prohibitive. In…

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