Real-Parameter Evolutionary Monte Carlo With Applications to Bayesian Mixture Models

Abstract

We propose an evolutionary Monte Carlo algorithm to sample from a target distribution with real-valued parameters. The attractive features of the algorithm include the ability to learn from the samples obtained in previous steps and the ability to improve the mixing of a system by sampling along a temperature ladder. The effectiveness of the algorithm is examined through three multimodal examples and Bayesian neural networks. The numerical results confirm that the real-coded evolutionary algorithm is a promising general approach for simulation and optimization.

KEY WORDS:

• Crossover
• Evolutionary Monte Carlo
• Exchange
• Genetic algorithm
• Markov chain Monte Carlo
• Metropolis algorithm
• Mixture model
• Mutation
• Neural network
• Parallel tempering