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Differential Evolution MCMC

John Salvatier writes:

I remember that you once mentioned an MCMC algorithm based on Differential Evolution, so I thought you might be interested in this paper, which introduces an algorithm based on Differential Evolution and claims to be useful even in high dimensional and multimodal problems.

Cool! Could this be implemented in Bugs, Jags, HBC, etc?

One Comment

  1. Bob O'H says:

    There is a 1D DE algorithm in BUGS, but someone should wave this paper in front of Andrew Thomas, when he's back from his holidays.