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

DOI10.1214/16-AAP1217zbMATH Open1370.60039arXiv1509.00302MaRDI QIDQ2013571FDOQ2013571

Joris Bierkens, Gareth O. Roberts

Publication date: 8 August 2017

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

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.

Full work available at URL: https://arxiv.org/abs/1509.00302

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)

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