MCMC-driven importance samplers

DOI10.1016/J.APM.2022.06.027zbMATH Open1505.62468arXiv2105.02579OpenAlexW3157699234MaRDI QIDQ2110113FDOQ2110113

David Delgado, Víctor Elvira, Luca Martino, E. Curbelo, Fernando Rodriguez Llorente

Publication date: 21 December 2022

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Abstract: Monte Carlo sampling methods are the standard procedure for approximating complicated integrals of multidimensional posterior distributions in Bayesian inference. In this work, we focus on the class of Layered Adaptive Importance Sampling (LAIS) scheme, which is a family of adaptive importance samplers where Markov chain Monte Carlo algorithms are employed to drive an underlying multiple importance sampling scheme. The modular nature of LAIS allows for different possible implementations, yielding a variety of different performance and computational costs. In this work, we propose different enhancements of the classical LAIS setting in order to increase the efficiency and reduce the computational cost, of both upper and lower layers. The different variants address computational challenges arising in real-world applications, for instance with highly concentrated posterior distributions. Furthermore, we introduce different strategies for designing cheaper schemes, for instance, recycling samples generated in the upper layer and using them in the final estimators in the lower layer. Different numerical experiments, considering several challenging scenarios, show the benefits of the proposed schemes comparing with benchmark methods presented in the literature.

Full work available at URL: https://arxiv.org/abs/2105.02579

zbMATH Keywords

Bayesian inferenceimportance samplingquadrature methodscomputational algorithms

Mathematics Subject Classification ID

Bayesian inference (62F15) Sampling theory, sample surveys (62D05)

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Cited In (11)

• Unconstrained recursive importance sampling
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• Generalized Poststratification and Importance Sampling for Subsampled Markov Chain Monte Carlo Estimation
• Generalized integral transform and Hamiltonian Monte Carlo for Bayesian structural damage identification
• Policy Gradient Importance Sampling for Bayesian Inference
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• Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models
• Langevin incremental mixture importance sampling

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