Interacting Particle Markov Chain Monte Carlo

We introduce interacting particle Markov chain Monte Carlo (iPMCMC), a PMCMC method that introduces a coupling between multiple standard and conditional sequential Monte Carlo samplers. Like related methods, iPMCMC is a Markov chain Monte Carlo sampler on an extended space. We present empirical results that show significant improvements in mixing rates relative to both non-interacting PMCMC samplers and a single PMCMC sampler with an equivalent total computational budget. An additional advantage of the iPMCMC method is that it is suitable for distributed and multi-core architectures.