DE-Metropolis-Z algorithm

Questions
1

I am trying to look for the reference paper (if there is any) which talks about DE-Metropolis-Z algorithm. I want to understand how DE-Metropolis is different from DE-Metropolis-Z - both, in theory and in implementation.

The only details that I can find about DE-Metropolis-Z is from this page - https://github.com/pymc-devs/pymc3/pull/3784.

2

@michaelosthege could you provide some pointers?

3

sorry about this late reply… I should turn on the emails…

The reference is in the docstring: https://doi.org/10.1007/s11222-008-9104-9

4

Sorry to reopen this, but I think it’s relevant. So, just to be sure (and not to cite a wrong thing in my paper):

  • although it’s called DEMetropolisZ, it’s actually the DE-MC
  • the DEMetropolisZ implementation in PyMC is not DREAM, nor DREAMZ (which refer to 10.1515/IJNSNS.2009.10.3.273), cause it misses the adaptive part

I just want to be 100% sure without checking the algorithm myself. Thanks a lot folks!