## transformation MCMC

**F**or reasons too long to describe here, I recently came across a 2013 paper by Dutta and Bhattacharya (from ISI Kolkata) entitled MCMC based on deterministic transforms, which sounded a bit dubious until I realised the *deterministic* label apply to the choice of the transformation and not to the Metropolis-Hastings proposal… The core of the proposed method is to make a proposal that simultaneously considers a move and its inverse, namely from x to either x’=T(x,ε) or x”=T⁻¹(x,ε) , where ε is an independent random noise, possibly degenerated to a manifold of lesser dimension. Due to the symmetry the acceptance probability is then a ratio of the target, multiplied by the x-Jacobian of T (as in reversible jump). I tried the method on a mixture of Gamma distributions target (in red) with an Exponential scale change and the resulting sample indeed fitted said target.

The authors even make an argument in favour of a unidimensional noise, although this amounts to running an implicit Gibbs sampler. Argument based on a reduced simulation cost for ε, albeit the full dimensional transform x’=T(x,ε) still requires to be computed. And as noted in the paper this also requires checking for irreducibility. The claim for higher efficiency found therein is thus mostly unsubstantiated…

“The detailed balance requirement also demands that, given x, the regions covered by the forward and the backward transformations are disjoint.”

The above statement is also surprising in that the generic detailed balance condition does not impose such a restriction.

## Leave a Reply