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

DOI10.1214/16-BJPS325zbMATH Open1378.60100arXiv1307.1446MaRDI QIDQ1674033FDOQ1674033

Authors: Kushal Kr. Dey, Sourabh Bhattacharya 

Publication date: 1 November 2017

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

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.

Full work available at URL: https://arxiv.org/abs/1307.1446

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zbMATH Keywords

random walkoptimal scalinghigh dimensiondiffusion limittransformation-based Markov chain Monte Carloadditive transformation

Mathematics Subject Classification ID

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

Cited In (4)

• Non-marginal decisions: a novel Bayesian multiple testing procedure
• Transdimensional transformation based Markov chain Monte Carlo
• A brief review of optimal scaling of the main MCMC approaches and optimal scaling of additive TMCMC under non-regular cases
• On geometric ergodicity of additive and multiplicative transformation-based Markov chain Monte Carlo in high dimensions

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