Constructing sampling schemes via coupling: Markov semigroups and optimal transport
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Published version
Author(s)
Nüsken, N
Pavliotis, GA
Type
Journal Article
Abstract
In this paper we develop a general framework for constructing and analyzing coupled Markov chain Monte Carlo samplers, allowing for both (possibly degenerate) diffusion and piecewise deterministic Markov processes. For many performance criteria of interest, including the asymptotic variance, the task of finding efficient couplings can be phrased in terms of problems related to optimal transport theory. We investigate general structural properties, proving a singularity theorem that has both geometric and probabilistic interpretations. Moreover, we show that those problems can often be solved approximately and support our findings with numerical experiments. For the particular objective of estimating the variance of a Bayesian posterior, our analysis suggests using novel techniques in the spirit of antithetic variates. Addressing the convergence to equilibrium of coupled processes we furthermore derive a modified Poincaré inequality.
Date Issued
2019-03-26
Date Acceptance
2019-01-18
Citation
SIAM/ASA Journal on Uncertainty Quantification, 2019, 7 (1), pp.324-382
ISSN
2166-2525
Publisher
Society for Industrial and Applied Mathematics
Start Page
324
End Page
382
Journal / Book Title
SIAM/ASA Journal on Uncertainty Quantification
Volume
7
Issue
1
Copyright Statement
© 2019 Society for Industrial and Applied Mathematics and American Statistical Association.
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Engineering & Physical Science Research Council (EPSRC)
Engineering & Physical Science Research Council (EPSRC)
Grant Number
EP/J009636/1
EP/L020564/1
EP/P031587/1
Subjects
Science & Technology
Physical Sciences
Mathematics, Interdisciplinary Applications
Physics, Mathematical
Mathematics
Physics
sampling
optimal transport
particle methods
Markov semigroups
MCMC
CHAIN MONTE-CARLO
INVARIANT MEASURE
CONVERGENCE
EQUATIONS
THEOREM
Publication Status
Published
Date Publish Online
2019-03-26