Archive for Ornstein-Uhlenbeck model

non-reversible MCMC

Posted in Books, Statistics, University life with tags , , , , , , on May 21, 2015 by xi'an

While visiting Dauphine, Natesh Pillai and Aaron Smith pointed out this interesting paper of Joris Bierkens (Warwick) that had escaped my arXiv watch/monitoring. The paper is about turning Metropolis-Hastings algorithms into non-reversible versions, towards improving mixing.

In a discrete setting, a way to produce a non-reversible move is to mix the proposal kernel Q with its time-reversed version Q’ and use an acceptance probability of the form

\epsilon\pi(y)Q(y,x)+(1-\epsilon)\pi(x)Q(x,y) \big/ \pi(x)Q(x,y)

where ε is any weight. This construction is generalised in the paper to any vorticity (skew-symmetric with zero sum rows) matrix Γ, with the acceptance probability

\epsilon\Gamma(x,y)+\pi(y)Q(y,x)\big/\pi(x)Q(x,y)

where ε is small enough to ensure all numerator values are non-negative. This is a rather annoying assumption in that, except for the special case derived from the time-reversed kernel, it has to be checked over all pairs (x,y). (I first thought it also implied the normalising constant of π but everything can be set in terms of the unormalised version of π, Γ or ε included.) The paper establishes that the new acceptance probability preserves π as its stationary distribution. An alternative construction is to make the proposal change from Q in H such that H(x,y)=Q(x,y)+εΓ(x,y)/π(x). Which seems more pertinent as not changing the proposal cannot improve that much the mixing behaviour of the chain. Still, the move to the non-reversible versions has the noticeable plus of decreasing the asymptotic variance of the Monte Carlo estimate for any integrable function. Any. (Those results are found in the physics literature of the 2000’s.)

The extension to the continuous case is a wee bit more delicate. One needs to find an anti-symmetric vortex function g with zero integral [equivalent to the row sums being zero] such that g(x,y)+π(y)q(y,x)>0 and with same support as π(x)q(x,y) so that the acceptance probability of g(x,y)+π(y)q(y,x)/π(x)q(x,y) leads to π being the stationary distribution. Once again g(x,y)=ε(π(y)q(y,x)-π(x)q(x,y)) is a natural candidate but it is unclear to me why it should work. As the paper only contains one illustration for the discretised Ornstein-Uhlenbeck model, with the above choice of g for a small enough ε (a point I fail to understand since any ε<1 should provide a positive g(x,y)+π(y)q(y,x)), it is also unclear to me that this modification (i) is widely applicable and (ii) is relevant for genuine MCMC settings.