Browsing School of Information Sciences by Author "Milgo, Edna"

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Adaptiveness of CMA based samplers

Milgo, Edna; Ronoh, Nixon; Waiganjo, Peter; Manderick, Bernard (ACM Digital Library, 2017)

We turn the Covariance Matrix Adaptation Evolution Strategy into an adaptive Markov Chain Monte Carlo (or MCMC) sampling algorithm that adapts online to the target distribution, i.e. the distribution to be sampled from. ...
Improving the effectiveness of MCMC through adaptation

Milgo, Edna; Ronoh, Nixon; Wagacha, Peter Waiganjo; Manderick, Bernard (2016)

The Metropolis-Hastings Markov Chain Monte Carlo algorithm uses a proposal distribution to sample from a given target distribution. The proposal distribution has to be tuned beforehand which is an expensive exercise. ...

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