Distributed Particle Metropolis-Hastings Schemes

Abstract

We introduce a Particle Metropolis-Hastings algorithm driven by several parallel particle filters. The communication with the central node requires the transmission of only a set of weighted samples, one per filter. Furthermore, the marginal version of the previous scheme, called Distributed Particle Marginal Metropolis-Hastings (DPMMH) method, is also presented. DPMMH can be used for making inference on both a dynamical and static variable of interest. The ergodicity is guaranteed, and numerical simulations show the advantages of the novel schemes.