recycling Gibbs auxiliaries
Luca Martino, Victor Elvira and Gustau Camps-Valls have arXived a paper on recycling for Gibbs sampling. The argument therein is to take advantage of all simulations induced by MCMC simulation for one full conditional, towards improving estimation if not convergence. The context is thus one when Metropolis-within-Gibbs operates, with several (M) iterations of the corresponding Metropolis being run instead of only one (which is still valid from a theoretical perspective). While there are arguments in augmenting those iterations, as recalled in the paper, I am not a big fan of running a fixed number of M of iterations as this does not approximate better the simulation from the exact full conditional and even if this approximation was perfect, the goal remains simulating from the joint distribution. As such, multiplying the number of Metropolis iterations does not necessarily impact the convergence rate, only brings it closer to the standard Gibbs rate. Moreover, the improvement does varies with the chosen component, meaning that the different full conditionals have different characteristics that produce various levels of variance reduction:
- if the targeted expectation only depends on one component of the Markov chain, multiplying the number of simulations for the other components has no clear impact, except in increasing time;
- if the corresponding full conditional is very concentrated, repeating simulations should produce quasi-repetitions, and no gain.
The only advantage in computing time that I can see at this stage is when constructing the MCMC sampler for the full proposal is much more costly than repeating MCMC iterations, which are then almost free and contribute to the reduction of the variance of the estimator.
This analysis of MCMC-withing-Gibbs strategies reminds me of a recent X validated question, which was about the proper degree of splitting simulations from a marginal and from a corresponding conditional in the chain rule, the optimal balance being in my opinion dependent on the relative variances of the conditional expectations.
A last point is that recycling in the context of simulation and Monte Carlo methodology makes me immediately think of Rao-Blackwellisation, which is surprisingly absent from the current paper. Rao-Blackwellisation was introduced in the MCMC literature and to the MCMC community in the first papers of Alan Gelfand and Adrian Smith, in 1990. While this is not always producing a major gain in Monte Carlo variability, it remains a generic way of recycling auxiliary variables as shown, e.g., in the recycling paper we wrote with George Casella in 1996, one of my favourite papers.