Automatic zig-zag sampling in practice
From MaRDI portal
Publication:2103992
Abstract: Novel Monte Carlo methods to generate samples from a target distribution, such as a posterior from a Bayesian analysis, have rapidly expanded in the past decade. Algorithms based on Piecewise Deterministic Markov Processes (PDMPs), non-reversible continuous-time processes, are developing into their own research branch, thanks their important properties (e.g., correct invariant distribution, ergodicity, and super-efficiency). Nevertheless, practice has not caught up with the theory in this field, and the use of PDMPs to solve applied problems is not widespread. This might be due, firstly, to several implementational challenges that PDMP-based samplers present with and, secondly, to the lack of papers that showcase the methods and implementations in applied settings. Here, we address both these issues using one of the most promising PDMPs, the Zig-Zag sampler, as an archetypal example. After an explanation of the key elements of the Zig-Zag sampler, its implementation challenges are exposed and addressed. Specifically, the formulation of an algorithm that draws samples from a target distribution of interest is provided. Notably, the only requirement of the algorithm is a closed-form function to evaluate the target density of interest, and, unlike previous implementations, no further information on the target is needed. The performance of the algorithm is evaluated against another gradient-based sampler, and it is proven to be competitive, in simulation and real-data settings. Lastly, we demonstrate that the super-efficiency property, i.e. the ability to draw one independent sample at a lesser cost than evaluating the likelihood of all the data, can be obtained in practice.
Recommendations
- The zig-zag process and super-efficient sampling for Bayesian analysis of big data
- Sticky PDMP samplers for sparse and local inference problems
- Limit theorems for the zig-zag process
- Adaptive schemes for piecewise deterministic Monte Carlo algorithms
- Coordinate sampler: a non-reversible Gibbs-like MCMC sampler
Cites work
- scientific article; zbMATH DE number 6982909 (Why is no real title available?)
- scientific article; zbMATH DE number 274399 (Why is no real title available?)
- A note on the polynomial ergodicity of the one-dimensional Zig-Zag process
- A piecewise deterministic Monte Carlo method for diffusion bridges
- Adaptive schemes for piecewise deterministic Monte Carlo algorithms
- Approximations of piecewise deterministic Markov processes and their convergence properties
- Bayesian methods for data analysis.
- Coordinate sampler: a non-reversible Gibbs-like MCMC sampler
- Ergodicity of the zigzag process
- Evaluating Derivatives
- Exponential convergence of Langevin distributions and their discrete approximations
- Optimal Scaling of Discrete Approximations to Langevin Diffusions
- Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
- Piecewise deterministic Markov processes for continuous-time Monte Carlo
- Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains
- Sequential Minimax Search for a Maximum
- Simulation of nonhomogeneous poisson processes by thinning
- Stan
- The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
- The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
- The zig-zag process and super-efficient sampling for Bayesian analysis of big data
- Zig-Zag Sampling for Discrete Structures and Nonreversible Phylogenetic MCMC
Cited in
(11)- Limit theorems for the zig-zag process
- Sticky PDMP samplers for sparse and local inference problems
- Speed up Zig-Zag
- NuZZ: numerical Zig-Zag sampling for general models
- Coordinate sampler: a non-reversible Gibbs-like MCMC sampler
- Concave-Convex PDMP-based Sampling
- Speeding up the zig-zag process
- Complexity of zigzag sampling algorithm for strongly log-concave distributions
- Generalized Bayesian likelihood-free inference
- The zig-zag process and super-efficient sampling for Bayesian analysis of big data
- Sampling algorithms in statistical physics: a guide for statistics and machine learning
This page was built for publication: Automatic zig-zag sampling in practice
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2103992)
