Automatic zig-zag sampling in practice
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Publication:2103992
DOI10.1007/S11222-022-10142-XzbMATH Open1499.62015arXiv2206.11410OpenAlexW4308748377MaRDI QIDQ2103992FDOQ2103992
Simon E. F. Spencer, Alice Corbella, Gareth O. Roberts
Publication date: 9 December 2022
Published in: Statistics and Computing (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2206.11410
super-efficiencypiecewise deterministic Markov processesautomatic inferencezig-zag samplergradient-based MCMC
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