Adaptive Component-wise Multiple-Try Metropolis Sampling

One of the most widely used samplers in practice is the component-wise MetropolisHastings (CMH) sampler that updates in turn the components of a vector spaces Markov chain using accept-reject moves generated from a proposal distribution. When the target distribution of a Markov chain is irregularly shaped, a ‘good’ proposal distribution for one part of the state space might be a ‘poor’ one for another part of the state space. We consider a component-wise multiple-try Metropolis (CMTM) algorithm that can automatically choose a better proposal out of a set of proposals from different distributions. The computational efficiency is increased using an adaptation rule for the CMTM algorithm that dynamically builds a better set of proposal distributions as the Markov chain runs. The ergodicity of the adaptive chain is demonstrated theoretically. The performance is studied via simulations and real data examples.