A brief review of optimal scaling of the main MCMC approaches and optimal scaling of additive TMCMC under non-regular cases

DOI10.1214/17-BJPS386zbMATH Open1478.60208arXiv1405.0913OpenAlexW2962894825MaRDI QIDQ2415489FDOQ2415489

Authors: Sourabh Bhattacharya, Kushal Kr. Dey 

Publication date: 22 May 2019

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: Very recently, Transformation based Markov Chain Monte Carlo (TMCMC) was proposed by Dutta and Bhattcharya (2013) as a much efficient alternative to the Metropolis-Hastings algorithm, Random Walk Metropolis (RWM) algorithm, especially in high dimensions. The main advantage of this algorithm is that it simultaneously updates all components of a high dimensional parameter by some appropriate deterministic transformation of a single random variable, thereby reducing time complexity and enhancing the acceptance rate. The optimal scaling of the additive TMCMC approach has already been studied for the Gaussian proposal density by Dey and Bhattacharya(2013). In this paper, we discuss diffusion-based optimal scaling behavior for non-Gaussian proposal densities - in particular, uniform, Student's t and Cauchy proposals. We also consider diffusion based optimal scaling for non-Gaussian proposals when the target density is discontinuous. In the case of the Random Walk metropolis (RWM) algorithm these non-regular situations have been studied by Neal and Roberts (2011) in terms of expected squared jumping distance (ESJD), but the diffusion based approach has not been considered. Although we could not formally prove our diffusion result for the Cauchy proposal, simulation based results led us to a conjecture that the diffusion result still holds for the Cauchy case. We compare our diffusion based TMCMC approach with that of ESJD based RWM approach for the very challenging Cauchy proposal case, showing that our former approach clearly outperforms the latter.

Full work available at URL: https://arxiv.org/abs/1405.0913

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zbMATH Keywords

optimal scalingdiffusionnon-regularadditive transformationtransformation based Markov chain Monte CarloItô formula

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Central limit and other weak theorems (60F05)

Cited In (7)

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• Singular relaxation of a random walk in a box with a Metropolis Monte Carlo dynamics
• Metropolis Monte Carlo sampling: convergence, localization transition and optimality
• A brief tutorial on transformation based Markov chain Monte Carlo and optimal scaling of the additive transformation
• Estimating promotion effects in email marketing using a large-scale cross-classified Bayesian joint model for nested imbalanced data
• Assessment and Adjustment of Approximate Inference Algorithms Using the Law of Total Variance
• On geometric ergodicity of additive and multiplicative transformation-based Markov chain Monte Carlo in high dimensions

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