Archive for formalism

general perspective on the Metropolis–Hastings kernel

Posted in Books, Statistics with tags , , , , , , , , , , , , , on January 14, 2021 by xi'an

[My Bristol friends and co-authors] Christophe Andrieu, and Anthony Lee, along with Sam Livingstone arXived a massive paper on 01 January on the Metropolis-Hastings kernel.

“Our aim is to develop a framework making establishing correctness of complex Markov chain Monte Carlo kernels a purely mechanical or algebraic exercise, while making communication of ideas simpler and unambiguous by allowing a stronger focus on essential features (…) This framework can also be used to validate kernels that do not satisfy detailed balance, i.e. which are not reversible, but a modified version thereof.”

A central notion in this highly general framework is, extending Tierney (1998), to see an MCMC kernel as a triplet involving a probability measure μ (on an extended space), an involution transform φ generalising the proposal step (i.e. þ²=id), and an associated acceptance probability ð. Then μ-reversibility occurs for

\eth(\xi)\mu(\text{d}\xi)= \eth(\phi(\xi))\mu^{\phi}(\text{d}\xi)

with the rhs involving the push-forward measure induced by μ and φ. And furthermore there is always a choice of an acceptance probability ð ensuring for this equality to happen. Interestingly, the new framework allows for mostly seamless handling of more complex versions of MCMC such as reversible jump and parallel tempering. But also non-reversible kernels, incl. for instance delayed rejection. And HMC, incl. NUTS. And pseudo-marginal, multiple-try, PDMPs, &c., &c. it is remarkable to see such a general theory emerging a this (late?) stage of the evolution of the field (and I will need more time and attention to understand its consequences).