Efficient MCMC for Gibbs random fields using pre-computation (Q1711571)

The paper under review deals with the problem of reducing the computational overhead in exploration of the doubly-intractable posterior distribution of the Gibbs random field (GRF) models, which is carried out with the exchange algorithm [\textit{I. Murray}, \textit{Z. Ghahramani} and \textit{D. J. C. MacKay}, ``MCMC for doubly-intractable distributions'', in: Proceedings of the 22nd annual conference on uncertainty in artificial intelligence, UAI'06. Arlington, VA: AUAI Press. 359--366 (2006)]. That algorithm is a Markov chain Monte Carlo (MCMC) method, which extends the Metropolis-Hastings algorithm to situations where the likelihood is intractable. The authors introduce a new class of algorithms that use realizations of the GRF model, simulated offline. It is illustrated on examples that this strategy speeds up the posterior inference. Moreover, theoretical behavior of the resulting approximate MCMC algorithm is studied and convergence bounds are derived. In conclusion, the authors note that their ``method would be impractical for very high dimensions'' and discuss related open problems.