Random Construction of Interpolating Sets for High-Dimensional Integration

DOI10.1239/JAP/1395771416MaRDI QIDQ5416543zbMATH OpenOpenAlexFDO

Authors Mark Huber, Sarah Schott

Publication date 14 May 2014

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

Full work available at URL https://arxiv.org/abs/1112.3692, https://projecteuclid.org/euclid.jap/1395771416

zbMATH Keywords

cooling scheduleintegrationMonte Carlo methodself-reducible

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Numerical integration (65D30)

Abstract: Many high dimensional integrals can be reduced to the problem of finding the relative measures of two sets. Often one set will be exponentially larger than the other, making it difficult to compare the sizes. A standard method of dealing with this problem is to interpolate between the sets with a sequence of nested sets where neighboring sets have relative measures bounded above by a constant. Choosing such a well balanced sequence can be very difficult in practice. Here a new approach that automatically creates such sets is presented. These well balanced sets allow for faster approximation algorithms for integrals and sums, and better tempering and annealing Markov chains for generating random samples. Applications such as finding the partition function of the Ising model and normalizing constants for posterior distributions in Bayesian methods are discussed.

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Cited in

(5)

• Sampling errors in nested sampling parameter estimation
• Using TPA to count linear extensions
• A generic construction for high order approximation schemes of semigroups using random grids
• Point process-based Monte Carlo estimation
• Parameter estimation for Gibbs distributions

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