A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model

DOI10.1214/16-AAP1217MaRDI QIDQ2013571zbMATH OpenFDO

Authors Joris Bierkens, Gareth O. Roberts

Publication date 8 August 2017

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.00302, https://projecteuclid.org/euclid.aoap/1495764368

zbMATH Keywords

phase transitionweak convergenceMarkov chain Monte Carlo methodpiecewise deterministic Markov processexponential ergodicityscaling limitCurie-Weiss model

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Abstract: In Turitsyn, Chertkov, Vucelja (2011) a non-reversible Markov Chain Monte Carlo (MCMC) method on an augmented state space was introduced, here referred to as Lifted Metropolis-Hastings (LMH). A scaling limit of the magnetization process in the Curie-Weiss model is derived for LMH, as well as for Metropolis-Hastings (MH). The required jump rate in the high (supercritical) temperature regime equals $n^{1/2}$ for LMH, which should be compared to $n$ for MH. At the critical temperature the required jump rate equals $n^{3/4}$ for LMH and $n^{3/2}$ for MH, in agreement with experimental results of Turitsyn, Chertkov, Vucelja (2011). The scaling limit of LMH turns out to be a non-reversible piecewise deterministic exponentially ergodic `zig-zag' Markov process.

Recommendations

• Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• Non-reversible Metropolis-Hastings
• Limit theorems for the zig-zag process
• Optimal Scaling of Discrete Approximations to Langevin Diffusions

Cited in

(37)

• Limit theorems for the zig-zag process
• Optimal variance reduction for Markov chain Monte Carlo
• Speed up Zig-Zag
• Generalizing Parallel Replica Dynamics: Trajectory Fragments, Asynchronous Computing, and PDMPs
• Hitting, mixing and tunneling asymptotics of Metropolis-Hastings reversiblizations in the low-temperature regime
• Spectral analysis of the zigzag process
• Asymptotics of maximum likelihood estimators for the Curie-Weiss model
• Strong convergence to two-dimensional alternating Brownian motion processes
• Reversible Jump PDMP Samplers for Variable Selection
• Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
• Piecewise deterministic Markov processes for continuous-time Monte Carlo
• Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains
• scientific article; zbMATH DE number 7387626 (Why is no real title available?)
• Coordinate sampler: a non-reversible Gibbs-like MCMC sampler
• Zig-Zag Sampling for Discrete Structures and Nonreversible Phylogenetic MCMC
• On the asymptotic variance of reversible Markov chain without cycles
• Exact targeting of Gibbs distributions using velocity-jump processes
• Characterizing limits and opportunities in speeding up Markov chain mixing
• Forward Event-Chain Monte Carlo: Fast Sampling by Randomness Control in Irreversible Markov Chains
• Concave-Convex PDMP-based Sampling
• Complexity of zigzag sampling algorithm for strongly log-concave distributions
• Geometric ergodicity of the bouncy particle sampler
• Large deviations for the skew-detailed-balance lifted-Markov processes to sample the equilibrium distribution of the Curie–Weiss model
• Super-efficient exact Hamiltonian Monte Carlo for the von Mises distribution
• Irreversible samplers from jump and continuous Markov processes
• On multiple acceleration of reversible Markov chain
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Limiting behaviors of high dimensional stochastic spin ensembles
• Strong invariance principles for ergodic Markov processes
• Direction-sweep Markov chains
• A note on the polynomial ergodicity of the one-dimensional Zig-Zag process
• Kinetic walks for sampling
• Large deviations for the empirical measure of the zig-zag process
• Approximating the magnetization in the Curie-Weiss model
• Ergodicity of the zigzag process
• Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
• Approximations of piecewise deterministic Markov processes and their convergence properties

This page was built for publication: A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2013571)