common derivation for Metropolis–Hastings and other MCMC algorithms

Khoa Tran and Robert Kohn from UNSW just arXived a paper on a comprehensive derivation of a large range of MCMC algorithms, beyond Metropolis-Hastings. The idea is to decompose the MCMC move into

  1. a random completion of the current value θ into V;
  2. a deterministic move T from (θ,V) to (ξ,W), where only ξ matters.

If this sounds like a new version of Peter Green’s completion at the core of his 1995 RJMCMC algorithm, it is bedowntown Sydney from under Sydney Harbour bridge, July 15, 2012cause it is indeed essentially the same notion. The resort to this completion allows for a standard form of the Metropolis-Hastings algorithm, which leads to the correct stationary distribution if T is self-inverse. This representation covers Metropolis-Hastings algorithms, Gibbs sampling, Metropolis-within-Gibbs and auxiliary variables methods, slice sampling, recursive proposals, directional sampling, Langevin and Hamiltonian Monte Carlo, NUTS sampling, pseudo-marginal Metropolis-Hastings algorithms, and pseudo-marginal Hamiltonian  Monte Carlo, as discussed by the authors. Given this representation of the Markov chain through a random transform, I wonder if Peter Glynn’s trick mentioned in the previous post on retrospective Monte Carlo applies in this generic setting (as it could considerably improve convergence…)

One Response to “common derivation for Metropolis–Hastings and other MCMC algorithms”

  1. Thank you for your posting! I just want to briefly add that among the algorithms mentioned, the inclusion of slice sampling into the family is particularly useful and some combinations of slice sampling with other algorithms given therein are new. We are working on some simulations at the moment.

    Best regards

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