Output-Sensitive Adaptive Metropolis-Hastings for Probabilistic Programs

22 Jan 2015David TolpinJan Willem van de MeentBrooks PaigeFrank Wood

We introduce an adaptive output-sensitive Metropolis-Hastings algorithm for probabilistic models expressed as programs, Adaptive Lightweight Metropolis-Hastings (AdLMH). The algorithm extends Lightweight Metropolis-Hastings (LMH) by adjusting the probabilities of proposing random variables for modification to improve convergence of the program output... (read more)

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