Particle Metropolis-adjusted Langevin algorithms

DOI10.1093/BIOMET/ASW020MaRDI QIDQ5384403zbMATHOpenAlexWikidataFDO

Authors Christopher Nemeth, Chris Sherlock, Paul Fearnhead

Publication date 24 June 2019

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.7299

zbMATH Keywords

particle filteroptimal scalingparticle Markov chain Monte CarloMetropolis-adjusted Langevin algorithmpseudo-marginal Markov chain Monte Carlo

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: This paper proposes a new sampling scheme based on Langevin dynamics that is applicable within pseudo-marginal and particle Markov chain Monte Carlo algorithms. We investigate this algorithm's theoretical properties under standard asymptotics, which correspond to an increasing dimension of the parameters, $n$. Our results show that the behaviour of the algorithm depends crucially on how accurately one can estimate the gradient of the log target density. If the error in the estimate of the gradient is not sufficiently controlled as dimension increases, then asymptotically there will be no advantage over the simpler random-walk algorithm. However, if the error is sufficiently well-behaved, then the optimal scaling of this algorithm will be $O(n^{-1/6})$ compared to $O(n^{-1/2})$ for the random walk. Our theory also gives guidelines on how to tune the number of Monte Carlo samples in the likelihood estimate and the proposal step-size.

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Cited in

(18)

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• Efficiency of delayed-acceptance random walk metropolis algorithms
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• Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
• Making inference of British household's happiness efficiency: a Bayesian latent model
• Accelerating inference for stochastic kinetic models
• Langevin diffusion for population based sampling with an application in Bayesian inference for pharmacodynamics
• Particle Metropolis-Hastings using gradient and Hessian information
• Hamiltonian Monte Carlo with energy conserving subsampling
• Constrained ensemble Langevin Monte Carlo
• Optimal scaling for the pseudo-marginal random walk Metropolis: insensitivity to the noise generating mechanism
• Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
• Introduction to ``Particle Metropolis-Hastings using gradient and Hessian information by J. Dahlin, F. Lindsten, T. Schön
• Optimal volume-corrected Laplace-Metropolis method
• A flexible particle Markov chain Monte Carlo method

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