A Note on Convergence of the Equi-Energy Sampler

DOI10.1080/07362990701857178MaRDI QIDQ5459757zbMATH OpenOpenAlexFDO

Authors Christophe Andrieu, Ajay Jasra, Arnaud Doucet, Pierre Del Moral

Publication date 29 April 2008

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.0164

zbMATH Keywords

equi-energy samplerPoisson equationuniform ergodicitynonlinear Markov chain Monte Carlo method

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Limit theorems in probability theory (60F99)

Abstract: In a recent paper `The equi-energy sampler with applications statistical inference and statistical mechanics' [Ann. Stat. 34 (2006) 1581--1619], Kou, Zhou & Wong have presented a new stochastic simulation method called the equi-energy (EE) sampler. This technique is designed to simulate from a probability measure $pi$, perhaps only known up to a normalizing constant. The authors demonstrate that the sampler performs well in quite challenging problems but their convergence results (Theorem 2) appear incomplete. This was pointed out, in the discussion of the paper, by Atchad'e & Liu (2006) who proposed an alternative convergence proof. However, this alternative proof, whilst theoretically correct, does not correspond to the algorithm that is implemented. In this note we provide a new proof of convergence of the equi-energy sampler based on the Poisson equation and on the theory developed in Andrieu et al. (2007) for emph{Non-Linear} Markov chain Monte Carlo (MCMC). The objective of this note is to provide a proof of correctness of the EE sampler when there is only one feeding chain; the general case requires a much more technical approach than is suitable for a short note. In addition, we also seek to highlight the difficulties associated with the analysis of this type of algorithm and present the main techniques that may be adopted to prove the convergence of it.

Recommendations

• Convergence of the equi-energy sampler
• Discussion of ``Equi-energy sampler by Kou, Zhou and Wong
• Adaptive equi-energy sampler: convergence and illustration
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• Equi-energy sampling does not converge rapidly on the mean-field Potts model with three colors close to the critical temperature

Cites work

• A Liapounov bound for solutions of the Poisson equation
• Discussion of ``Equi-energy sampler by Kou, Zhou and Wong
• Equi-energy sampler with applications in statistical inference and statistical mechanics
• Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
• Non-linear Markov Chain Monte Carlo
• On convergence of chains with occupational self–interactions
• Strong laws for 𝐿- and 𝑢-statistics

Cited in

(11)

• Equi-energy sampling does not converge rapidly on the mean-field Potts model with three colors close to the critical temperature
• Convergence of the equi-energy sampler and its application to the ising model
• A central limit theorem for adaptive and interacting Markov chains
• On the convergence rates of some adaptive Markov chain Monte Carlo algorithms
• Adaptive equi-energy sampler: convergence and illustration
• Discussion of ``Equi-energy sampler by Kou, Zhou and Wong
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• Convergence of the equi-energy sampler
• On nonlinear Markov chain Monte Carlo
• Equi-energy sampler with applications in statistical inference and statistical mechanics
• Parallel tempering with equi-energy moves

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