Skew Brownian motion and complexity of the ALPS algorithm

DOI10.1017/JPR.2021.78MaRDI QIDQ5868528zbMATH OpenOpenAlexFDO

Authors Gareth O. Roberts, Jeffrey S. Rosenthal, Nicholas G. Tawn

Publication date 21 September 2022

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

Full work available at URL https://arxiv.org/abs/2009.12424

zbMATH Keywords

ALPS algorithmdiffusion limitgeneratorMarkov chain Monte Carloskew Brownian motion

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Computational methods in Markov chains (60J22) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65)

Abstract: Simulated tempering is a popular method of allowing MCMC algorithms to move between modes of a multimodal target density {pi}. The paper [24] introduced the Annealed Leap-Point Sampler (ALPS) to allow for rapid movement between modes. In this paper, we prove that, under appropriate assumptions, a suitably scaled version of the ALPS algorithm converges weakly to skew Brownian motion. Our results show that under appropriate assumptions, the ALPS algorithm mixes in time O(d[log(d)]^2 ) or O(d), depending on which version is used.

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Cited in

(2)

• Rates of convergence to the local time of oscillating and skew Brownian motion
• Accelerate Langevin sampling with birth-death process and exploration component

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