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

Curie-Weiss modelexponential ergodicityMarkov chain Monte Carlo methodphase transitionpiecewise deterministic Markov processscaling limitweak convergence

Mathematics Subject Classification ID

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

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.

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Cited in

(41)

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