Wasserstein contraction and spectral gap of slice sampling revisited

DOI10.1214/23-EJP1030OpenAlexW4388411989MaRDI QIDQ6136814FDOQ6136814

Authors Philip Schär

Publication date 17 January 2024

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2305.16984

zbMATH Keywords

slice samplingMCMCspectral gapWasserstein contraction

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We propose a new class of Markov chain Monte Carlo methods, called $k$-polar slice sampling ($k$-PSS), as a technical tool that interpolates between and extrapolates beyond uniform and polar slice sampling. By examining Wasserstein contraction rates and spectral gaps of $k$-PSS, we obtain strong quantitative results regarding its performance for different kinds of target distributions. Because $k$-PSS contains uniform and polar slice sampling as special cases, our results significantly advance the theoretical understanding of both of these methods. In particular, we prove realistic estimates of the convergence rates of uniform slice sampling for arbitrary multivariate Gaussian distributions on the one hand, and near-arbitrary multivariate t-distributions on the other. Furthermore, our results suggest that for heavy-tailed distributions, polar slice sampling performs dimension-independently well, whereas uniform slice sampling suffers a rather strong curse of dimensionality.

Recommendations

• Dimension-independent spectral gap of polar slice sampling
• The polar slice sampler
• Efficiency and Convergence Properties of Slice Samplers
• Slice sampling. (With discussions and rejoinder)

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Cited in

(2)

• A dimension-independent bound on the Wasserstein contraction rate of a geodesic random walk on the sphere
• Dimension-independent spectral gap of polar slice sampling

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