Kernel Selection for Convergence and Efficiency in Markov Chain Monte Carol

• Main Author: Potter, Christopher C. J.
• Format: Others
• Published: Research Showcase @ CMU 2013
• Subjects: Markov Chain Monte Carlo; detailed balance; acceptance ratio; Metropolis algorithm; Mathematics
• Online Access: http://repository.cmu.edu/dissertations/249; http://repository.cmu.edu/cgi/viewcontent.cgi?article=1247&context=dissertations

Markov Chain Monte Carlo (MCMC) is a technique for sampling from a target probability distribution, and has risen in importance as faster computing hardware has made possible the exploration of hitherto difficult distributions. Unfortunately, this powerful technique is often misapplied by poor selection of transition kernel for the Markov chain that is generated by the simulation. Some kernels are used without being checked against the convergence requirements for MCMC (total balance and ergodicity), but in this work we prove the existence of a simple proxy for total balance that is not as demanding as detailed balance, the most widely used standard. We show that, for discrete-state MCMC, that if a transition kernel is equivalent when it is “reversed” and applied to data which is also “reversed”, then it satisfies total balance. We go on to prove that the sequential single-variable update Metropolis kernel, where variables are simply updated in order, does indeed satisfy total balance for many discrete target distributions, such as the Ising model with uniform exchange constant. Also, two well-known papers by Gelman, Roberts, and Gilks (GRG)[1, 2] have proposed the application of the results of an interesting mathematical proof to the realistic optimization of Markov Chain Monte Carlo computer simulations. In particular, they advocated tuning the simulation parameters to select an acceptance ratio of 0.234 . In this paper, we point out that although the proof is valid, its result’s application to practical computations is not advisable, as the simulation algorithm considered in the proof is so inefficient that it produces very poor results under all circumstances. The algorithm used by Gelman, Roberts, and Gilks is also shown to introduce subtle time-dependent correlations into the simulation of intrinsically independent variables. These correlations are of particular interest since they will be present in all simulations that use multi-dimensional MCMC moves.