scholarly journals Weak Convergence Rates of Population Versus Single-Chain Stochastic Approximation MCMC Algorithms

2014 ◽  
Vol 46 (04) ◽  
pp. 1059-1083 ◽  
Author(s):  
Qifan Song ◽  
Mingqi Wu ◽  
Faming Liang

In this paper we establish the theory of weak convergence (toward a normal distribution) for both single-chain and population stochastic approximation Markov chain Monte Carlo (MCMC) algorithms (SAMCMC algorithms). Based on the theory, we give an explicit ratio of convergence rates for the population SAMCMC algorithm and the single-chain SAMCMC algorithm. Our results provide a theoretic guarantee that the population SAMCMC algorithms are asymptotically more efficient than the single-chain SAMCMC algorithms when the gain factor sequence decreases slower than O(1 / t), where t indexes the number of iterations. This is of interest for practical applications.

2014 ◽  
Vol 46 (4) ◽  
pp. 1059-1083 ◽  
Author(s):  
Qifan Song ◽  
Mingqi Wu ◽  
Faming Liang

In this paper we establish the theory of weak convergence (toward a normal distribution) for both single-chain and population stochastic approximation Markov chain Monte Carlo (MCMC) algorithms (SAMCMC algorithms). Based on the theory, we give an explicit ratio of convergence rates for the population SAMCMC algorithm and the single-chain SAMCMC algorithm. Our results provide a theoretic guarantee that the population SAMCMC algorithms are asymptotically more efficient than the single-chain SAMCMC algorithms when the gain factor sequence decreases slower than O(1 / t), where t indexes the number of iterations. This is of interest for practical applications.


Author(s):  
Michael Hynes

A ubiquitous problem in physics is to determine expectation values of observables associated with a system. This problem is typically formulated as an integration of some likelihood over a multidimensional parameter space. In Bayesian analysis, numerical Markov Chain Monte Carlo (MCMC) algorithms are employed to solve such integrals using a fixed number of samples in the Markov Chain. In general, MCMC algorithms are computationally expensive for large datasets and have difficulties sampling from multimodal parameter spaces. An MCMC implementation that is robust and inexpensive for researchers is desired. Distributed computing systems have shown the potential to act as virtual supercomputers, such as in the SETI@home project in which millions of private computers participate. We propose that a clustered peer-to-peer (P2P) computer network serves as an ideal structure to run Markovian state exchange algorithms such as Parallel Tempering (PT). PT overcomes the difficulty in sampling from multimodal distributions by running multiple chains in parallel with different target distributions andexchanging their states in a Markovian manner. To demonstrate the feasibility of peer-to-peer Parallel Tempering (P2P PT), a simple two-dimensional dataset consisting of two Gaussian signals separated by a region of low probability was used in a Bayesian parameter fitting algorithm. A small connected peer-to-peer network was constructed using separate processes on a linux kernel, and P2P PT was applied to the dataset. These sampling results were compared with those obtained from sampling the parameter space with a single chain. It was found that the single chain was unable to sample both modes effectively, while the P2P PT method explored the target distribution well, visiting both modes approximately equally. Future work will involve scaling to many dimensions and large networks, and convergence conditions with highly heterogeneous computing capabilities of members within the network.


2015 ◽  
Vol 52 (3) ◽  
pp. 811-825
Author(s):  
Yves Atchadé ◽  
Yizao Wang

In this paper we study the mixing time of certain adaptive Markov chain Monte Carlo (MCMC) algorithms. Under some regularity conditions, we show that the convergence rate of importance resampling MCMC algorithms, measured in terms of the total variation distance, is O(n-1). By means of an example, we establish that, in general, this algorithm does not converge at a faster rate. We also study the interacting tempering algorithm, a simplified version of the equi-energy sampler, and establish that its mixing time is of order O(n-1/2).


2004 ◽  
Vol 29 (4) ◽  
pp. 461-488 ◽  
Author(s):  
Sandip Sinharay

There is an increasing use of Markov chain Monte Carlo (MCMC) algorithms for fitting statistical models in psychometrics, especially in situations where the traditional estimation techniques are very difficult to apply. One of the disadvantages of using an MCMC algorithm is that it is not straightforward to determine the convergence of the algorithm. Using the output of an MCMC algorithm that has not converged may lead to incorrect inferences on the problem at hand. The convergence is not one to a point, but that of the distribution of a sequence of generated values to another distribution, and hence is not easy to assess; there is no guaranteed diagnostic tool to determine convergence of an MCMC algorithm in general. This article examines the convergence of MCMC algorithms using a number of convergence diagnostics for two real data examples from psychometrics. Findings from this research have the potential to be useful to researchers using the algorithms. For both the examples, the number of iterations required (suggested by the diagnostics) to be reasonably confident that the MCMC algorithm has converged may be larger than what many practitioners consider to be safe.


2021 ◽  
Vol 31 (2) ◽  
Author(s):  
Ömer Deniz Akyildiz ◽  
Joaquín Míguez

AbstractAdaptive importance samplers are adaptive Monte Carlo algorithms to estimate expectations with respect to some target distribution which adapt themselves to obtain better estimators over a sequence of iterations. Although it is straightforward to show that they have the same $$\mathcal {O}(1/\sqrt{N})$$ O ( 1 / N ) convergence rate as standard importance samplers, where N is the number of Monte Carlo samples, the behaviour of adaptive importance samplers over the number of iterations has been left relatively unexplored. In this work, we investigate an adaptation strategy based on convex optimisation which leads to a class of adaptive importance samplers termed optimised adaptive importance samplers (OAIS). These samplers rely on the iterative minimisation of the $$\chi ^2$$ χ 2 -divergence between an exponential family proposal and the target. The analysed algorithms are closely related to the class of adaptive importance samplers which minimise the variance of the weight function. We first prove non-asymptotic error bounds for the mean squared errors (MSEs) of these algorithms, which explicitly depend on the number of iterations and the number of samples together. The non-asymptotic bounds derived in this paper imply that when the target belongs to the exponential family, the $$L_2$$ L 2 errors of the optimised samplers converge to the optimal rate of $$\mathcal {O}(1/\sqrt{N})$$ O ( 1 / N ) and the rate of convergence in the number of iterations are explicitly provided. When the target does not belong to the exponential family, the rate of convergence is the same but the asymptotic $$L_2$$ L 2 error increases by a factor $$\sqrt{\rho ^\star } > 1$$ ρ ⋆ > 1 , where $$\rho ^\star - 1$$ ρ ⋆ - 1 is the minimum $$\chi ^2$$ χ 2 -divergence between the target and an exponential family proposal.


2015 ◽  
Vol 52 (03) ◽  
pp. 811-825
Author(s):  
Yves Atchadé ◽  
Yizao Wang

In this paper we study the mixing time of certain adaptive Markov chain Monte Carlo (MCMC) algorithms. Under some regularity conditions, we show that the convergence rate of importance resampling MCMC algorithms, measured in terms of the total variation distance, isO(n-1). By means of an example, we establish that, in general, this algorithm does not converge at a faster rate. We also study the interacting tempering algorithm, a simplified version of the equi-energy sampler, and establish that its mixing time is of orderO(n-1/2).


2005 ◽  
Vol 133 (8) ◽  
pp. 2310-2334 ◽  
Author(s):  
Anna Borovikov ◽  
Michele M. Rienecker ◽  
Christian L. Keppenne ◽  
Gregory C. Johnson

Abstract One of the most difficult aspects of ocean-state estimation is the prescription of the model forecast error covariances. The paucity of ocean observations limits our ability to estimate the covariance structures from model–observation differences. In most practical applications, simple covariances are usually prescribed. Rarely are cross covariances between different model variables used. Here a comparison is made between a univariate optimal interpolation (UOI) scheme and a multivariate OI algorithm (MvOI) in the assimilation of ocean temperature profiles. In the UOI case only temperature is updated using a Gaussian covariance function. In the MvOI, salinity, zonal, and meridional velocities as well as temperature are updated using an empirically estimated multivariate covariance matrix. Earlier studies have shown that a univariate OI has a detrimental effect on the salinity and velocity fields of the model. Apparently, in a sequential framework it is important to analyze temperature and salinity together. For the MvOI an estimate of the forecast error statistics is made by Monte Carlo techniques from an ensemble of model forecasts. An important advantage of using an ensemble of ocean states is that it provides a natural way to estimate cross covariances between the fields of different physical variables constituting the model-state vector, at the same time incorporating the model’s dynamical and thermodynamical constraints as well as the effects of physical boundaries. Only temperature observations from the Tropical Atmosphere–Ocean array have been assimilated in this study. To investigate the efficacy of the multivariate scheme, two data assimilation experiments are validated with a large independent set of recently published subsurface observations of salinity, zonal velocity, and temperature. For reference, a control run with no data assimilation is used to check how the data assimilation affects systematic model errors. While the performance of the UOI and MvOI is similar with respect to the temperature field, the salinity and velocity fields are greatly improved when the multivariate correction is used, as is evident from the analyses of the rms differences between these fields and independent observations. The MvOI assimilation is found to improve upon the control run in generating water masses with properties close to the observed, while the UOI fails to maintain the temperature and salinity structure.


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