Evolutionary MCMC Sampling and Optimization in Discrete Spaces

Malcolm J. A. Strens

The links between genetic algorithms and population-based Markov Chain Monte Carlo (MCMC) methods are explored. Genetic algorithms (GAs) are well-known for their capability to optimize functions of discretevalued variables, but the MCMC interpretation allows GA variants to be used for sampling discrete spaces (e.g. in Bayesian inference for machine learning). The GA crossover and mutation operators are modi fied to provide valid MCMC samples, and a new \exclusive-or" operator is introduced as an alternative way to recombine population members. This is shown to improve sampling performance in a medical diagnostic problem domain. The sampler can also be used within simulated annealing to provide a global optimizer that is similar to a GA in structure but has known convergence properties.

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