Genetic algorithms and Markov Chain Monte Carlo: Differential Evolution Markov Chain makes Bayesian computing easy

    Research output: Book/ReportReportAcademic

    Abstract

    Differential Evolution (DE) is a simple genetic algorithm for numerical optimization in real parameter spaces. In a statistical context one would not just want the optimum but also its uncertainty. The uncertainty distribution can be obtained by a Bayesian analysis (after specifying prior and likelihood) using Markov Chain Monte Carlo (MCMC) simulation. In this paper the essential ideas of DE and MCMC are integrated into Differential Evolution Markov Chain (DE-MC). DE-MC is a population MCMC algorithm, in which multiple chains are run in parallel. DE-MC solves an important problem in MCMC, namely that of choosing an appropriate scale and orientation for the jumping distribution. In DE-MC the jumps are simply a multiple of the differences of two random parameter vectors that are currently in the population. Simulations and examples illustrate the potential of DE-MC. The advantage of DE-MC over conventional MCMC are simplicity, speed of calculation and convergence, even for nearly collinear parameters and multimodal densities
    Original languageEnglish
    Place of PublicationWageningen
    PublisherBiometris
    Number of pages14
    Publication statusPublished - 2004

    Publication series

    NameBiometris
    PublisherBiometris

    Keywords

    • monte carlo method
    • algorithms
    • markov processes
    • simulation
    • optimization methods

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