Sticky PDMP samplers for sparse and local inference problems

DOI10.1007/S11222-022-10180-5MaRDI QIDQ2104011zbMATH OpenOpenAlexFDO

Authors Joris Bierkens, Sebastiano Grazzi, Moritz Schauer, Frank van der Meulen

Publication date 9 December 2022

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2103.08478

zbMATH Keywords

Monte Carlohigh-dimensional problemspiecewise deterministic Markov processBayesian variable selectionspike-and-slabbig-datanon-reversible jump

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Continuous-time Markov processes on general state spaces (60J25)

Abstract: We construct a new class of efficient Monte Carlo methods based on continuous-time piecewise deterministic Markov processes (PDMPs) suitable for inference in high dimensional sparse models, i.e. models for which there is prior knowledge that many coordinates are likely to be exactly $0$. This is achieved with the fairly simple idea of endowing existing PDMP samplers with 'sticky' coordinate axes, coordinate planes etc. Upon hitting those subspaces, an event is triggered during which the process sticks to the subspace, this way spending some time in a sub-model. This results in non-reversible jumps between different (sub-)models. While we show that PDMP samplers in general can be made sticky, we mainly focus on the Zig-Zag sampler. Compared to the Gibbs sampler for variable selection, we heuristically derive favourable dependence of the Sticky Zig-Zag sampler on dimension and data size. The computational efficiency of the Sticky Zig-Zag sampler is further established through numerical experiments where both the sample size and the dimension of the parameter space are large.

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Cited in

(3)

• Reversible Jump PDMP Samplers for Variable Selection
• NuZZ: numerical Zig-Zag sampling for general models
• Automatic zig-zag sampling in practice

Describes a project that uses

Uses Software

• pi-MASS
• Boids
• ccpdmp

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