important Markov chains

With Charly Andral (PhD, Paris Dauphine), Randal Douc, and Hugo Marival (PhD, Telecom SudParis), we just arXived a paper on importance Markov chains that merges importance sampling and MCMC. An idea already mentioned in Hastings (1970) and even earlier in Fodsick (1963), and later exploited in Liu et al.  (2003) for instance. And somewhat dual of the vanilla Rao-Backwellisation paper Randal and I wrote a (long!) while ago. Given a target π with a dominating measure π⁰≥Mπ, using a Markov kernel to simulate from this dominating measure and subsampling by the importance weight ρ does produce a new Markov chain with the desired target measure as invariant distribution. However, the domination assumption is rather unrealistic and a generic approach can be implemented without it, by defining an extended Markov chain, with the addition of the number N of replicas as the supplementary term… And a transition kernel R(n|x) on N with expectation ρ, which is a minimal(ist) assumption for the validation of the algorithm.. While this initially defines a semi-Markov chain, an extended Markov representation is also feasible, by decreasing N one by one until reaching zero, and this is most helpful in deriving convergence properties for the resulting chain, including a CLT.  While the choice of the kernel R is free, the optimal choice is associated with residual sampling, where only the fractional part of ρ is estimated by a Bernoulli simulation.

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