Scaling of Piecewise Deterministic Monte Carlo for Anisotropic Targets

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• Kengo Kamatani (The Institute of Statistical Mathematics (ISM))
• Friday 29 November 2024, 09:15-10:05
• Seminar Room 1, Newton Institute.

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SSDW04 - Monte Carlo sampling: beyond the diffusive regime

Piecewise deterministic Markov processes (PDMPs) are a type of continuous-time Markov process that combine deterministic flows with jumps. Recently, PDM Ps have garnered attention within the Monte Carlo community as a potential alternative to traditional Markov chain Monte Carlo (MCMC) methods. The Zig-Zag sampler and the Bouncy Particle Sampler are commonly used examples of the PDMP methodology which have also yielded impressive theoretical properties, but little is known about their robustness to extreme dependence or anisotropy of the target density. It turns out that PDM Ps may suffer from poor mixing due to anisotropy and this paper investigates this effect in detail in the stylised but important Gaussian case. To this end, we employ a multi-scale analysis framework in this paper. Our results show that when the Gaussian target distribution has two scales, of order 1 and \epsilon, the computational cost of the Bouncy Particle Sampler is of order \epsilon^{−1, and the computational cost of the Zig-Zag sampler is \epsilon}−2. In comparison, the cost of the traditional MCMC methods such as RWM is of order \epsilon^−2, at least when the dimensionality of the small component is more than 1. Therefore, there is a robustness advantage to using PDM Ps in this context. This is joint work with Joris Bierkens (TU Delft) and Gareth O. Roberts (Warwick)

This talk is part of the Isaac Newton Institute Seminar Series series.

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