I present a new Markov chain sampling method appropriate for distributions with isolated modes. The new method has the advantage that it does not require approximate values for the normalizing constants of these distributions, which are needed for simulated tempering, and can be tedious to estimate.
Simulated tempering performs a random walk along the series of distributions used.
In contrast, the tempered transitions of the new method move systematically from the desired distribution, to the easily-sampled distribution, and back to the desired distribution. This systematic movement avoids the inefficiency of a random walk, an advantage that unfortunately is cancelled by an increase in the number of interpolating distributions required. Because of this, the sampling efficiency of the tempered transition method in simple problems is similar to that of simulated tempering. On more complex distributions, however, simulated tempering and tempered transitions may perform differently. Technical Report No.