This article proposes a split-merge Markov chain algorithm to address the problem of inefficient sampling for conjugate Dirichlet process mixture models. Traditional Markov chain Monte Carlo methods for Bayesian mixture models, such as Gibbs sampling, can become trapped in isolated modes corresponding to an inappropriate clustering of data points. This article describes a Metropolis-Hastings procedure that can escape such local modes by splitting of merging mixture components. Our algorithm employs a new technique in which an appropriate proposal for splitting or merging components is obtained by using a restricted Gibbs sampling scan. We demonstrate empirically that our method outperforms the Gibbs sampler in situations where two of more components are similar in structure.
Journal of Computational and Graphical Statistics, vol. 13, pp. 158-182 (2004).
Jain, S. and Neal, R. M. (2000) ``A Split-Merge Markov Chain Monte Carlo Procedure for the Dirichlet Process Mixture Model'', Technical Report No. 2003, Dept. of Statistics (July 2000), 32 pages: abstract, postscript, pdf.The following earlier papers of Radford Neal are related:
Neal, R. M. (1998) ``Markov chain sampling methods for Dirichlet process mixture models'', Technical Report No. 9815, Dept. of Statistics, University of toronto, 17 pages: abstract, postscript, pdf, associated reference, associated software.
Neal, R. M. (1991) ``Bayesian mixture modeling by Monte Carlo simulation'', Technical Report CRG-TR-91-2, Dept. of Computer Science, University of Toronto, 23 pages: abstract, postscript, pdf, associated references.