A brief tutorial on transformation based Markov chain Monte Carlo and optimal scaling of the additive transformation

DOI10.1214/16-BJPS325MaRDI QIDQ1674033zbMATH OpenFDO

Authors Kushal Kr. Dey, Sourabh Bhattacharya

Publication date 1 November 2017

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.1446, https://projecteuclid.org/euclid.bjps/1503388830

zbMATH Keywords

additive transformationdiffusion limithigh dimensionoptimal scalingrandom walktransformation-based Markov chain Monte Carlo

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05)

Abstract: We consider the recently introduced Transformation-based Markov Chain Monte Carlo (TMCMC) (Dutta and Bhattacharya (2014)), a methodology that is designed to update all the parameters simultaneously using some simple deterministic transformation of a onedimensional random variable drawn from some arbitrary distribution on a relevant support. The additive transformation based TMCMC is similar in spirit to random walk Metropolis, except the fact that unlike the latter, additive TMCMC uses a single draw from a onedimensional proposal distribution to update the high-dimensional parameter. In this paper, we first provide a brief tutorial on TMCMC, exploring its connections and contrasts with various available MCMC methods. Then we study the diffusion limits of additive TMCMC under various set-ups ranging from the product structure of the target density to the case where the target is absolutely continuous with respect to a Gaussian measure; we also consider the additive TMCMC within Gibbs approach for all the above set-ups. These investigations lead to appropriate scaling of the one-dimensional proposal density. We also show that the optimal acceptance rate of additive TMCMC is 0.439 under all the aforementioned set-ups, in contrast with the well-established 0.234 acceptance rate associated with optimal random walk Metropolis algorithms under the same set-ups. We also elucidate the ramifications of our results and clear advantages of additive TMCMC over random walk Metropolis with ample simulation studies and Bayesian analysis of a real, spatial dataset with which 160 unknowns are associated.

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