Efficient MCMC for Gibbs random fields using pre-computation
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Abstract: Bayesian inference of Gibbs random fields (GRFs) is often referred to as a doubly intractable problem, since the likelihood function is intractable. The exploration of the posterior distribution of such models is typically carried out with a sophisticated Markov chain Monte Carlo (MCMC) method, the exchange algorithm (Murray et al., 2006), which requires simulations from the likelihood function at each iteration. The purpose of this paper is to consider an approach to dramatically reduce this computational overhead. To this end we introduce a novel class of algorithms which use realizations of the GRF model, simulated offline, at locations specified by a grid that spans the parameter space. This strategy speeds up dramatically the posterior inference, as illustrated on several examples. However, using the pre-computed graphs introduces a noise in the MCMC algorithm, which is no longer exact. We study the theoretical behaviour of the resulting approximate MCMC algorithm and derive convergence bounds using a recent theoretical development on approximate MCMC methods.
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Cites work
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- scientific article; zbMATH DE number 840151 (Why is no real title available?)
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Cited in
(7)- Scalable Bayesian inference for the inverse temperature of a hidden Potts model
- Approximate Bayesian inference for hierarchical Gaussian Markov random field models
- Model comparison for Gibbs random fields using noisy reversible jump Markov chain Monte Carlo
- Bayesian indirect inference for models with intractable normalizing functions
- Preconditioning Markov Chain Monte Carlo Simulations Using Coarse-Scale Models
- On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods
- Finding our way in the dark: approximate MCMC for approximate Bayesian methods
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