论文标题
Barker提案和其他本地平衡的大都市杂货算法的最佳设计
Optimal design of the Barker proposal and other locally-balanced Metropolis-Hastings algorithms
论文作者
论文摘要
我们研究了Livingstone&Zanella(2021)中引入的一阶当地大都市的一类算法。要选择类中的特定算法,用户必须选择一个平衡函数$ g:\ mathbb {r} \ to \ mathbb {r} $满足$ g(t)= tg(1/t)$,以及提案增量的噪声分布。该班级的流行选择是大都会调整后的Langevin算法和最近引入的Barker提案。我们首先建立了57%的普遍限制最佳接受率,$ n^{ - 1/3} $的比例为尺寸$ n $倾向于在$ g $上的轻度平滑度假设下以及算法的目标分配中,在班级的所有成员中倾向于无限。特别是,通过预期平方的跳跃距离来衡量,我们获得了班级任意算法的渐近效率的显式表达。然后,我们考虑如何在各种约束下优化此表达式。我们为Barker提案提供了最佳的噪声分布选择,在高斯噪声分布下的平衡函数的最佳选择以及整个班级中一阶局部平衡算法的最佳选择,事实证明这取决于特定的目标分布。数值模拟证实了我们的理论发现,尤其表明,Barker提案中噪声分布的双模式选择产生了一种实用算法,该算法始终比原始高斯版本更有效。
We study the class of first-order locally-balanced Metropolis--Hastings algorithms introduced in Livingstone & Zanella (2021). To choose a specific algorithm within the class the user must select a balancing function $g:\mathbb{R} \to \mathbb{R}$ satisfying $g(t) = tg(1/t)$, and a noise distribution for the proposal increment. Popular choices within the class are the Metropolis-adjusted Langevin algorithm and the recently introduced Barker proposal. We first establish a universal limiting optimal acceptance rate of 57% and scaling of $n^{-1/3}$ as the dimension $n$ tends to infinity among all members of the class under mild smoothness assumptions on $g$ and when the target distribution for the algorithm is of the product form. In particular we obtain an explicit expression for the asymptotic efficiency of an arbitrary algorithm in the class, as measured by expected squared jumping distance. We then consider how to optimise this expression under various constraints. We derive an optimal choice of noise distribution for the Barker proposal, optimal choice of balancing function under a Gaussian noise distribution, and optimal choice of first-order locally-balanced algorithm among the entire class, which turns out to depend on the specific target distribution. Numerical simulations confirm our theoretical findings and in particular show that a bi-modal choice of noise distribution in the Barker proposal gives rise to a practical algorithm that is consistently more efficient than the original Gaussian version.