We introduce the Skipping Sampler, a novel algorithm to efficiently sample from the restriction of an arbitrary probability density to an arbitrary measurable set. Such conditional densities can arise in the study of risk and reliability and are often of complex nature, for example having multiple isolated modes and non-convex or disconnected support. The sampler can be seen as an instance of the Metropolis-Hastings algorithm with a particular proposal structure, and we establish sufficient conditions under which the Strong Law of Large Numbers and the Central Limit Theorem hold. We give theoretical and numerical evidence of improved performance relative to the Random Walk Metropolis algorithm.
Multipoint MCMC @cite_14 , based on Multiple-try Metropolis @cite_13 , does not require additional information about @math or @math . A fixed number of draws are made from a correlated proposal density and one is selected at random. The weight function used in this selection may be chosen to encourage exploration of @math , thus addressing multimodality. Its random-grid implementation, in particular, has similarities with the Skipping Sampler presented below. However our method does not fix the number of draws a priori but instead allows this to be guided by the unknown set @math , and it also lies in the MH class. The latter feature both simplifies the implementation and makes it easier to prove theoretical results such as the main results of this paper.
@cite_14 @cite_13
2073412813 1797876566 823587708 2115067168
Abstract This article describes a new Metropolis-like transition rule, the multiple-try Metropolis, for Markov chain Monte Carlo (MCMC) simulations. By using this transition rule together with adaptive direction sampling, we propose a novel method for incorporating local optimization steps into a MCMC sampler in continuous state-space. Numerical studies show that the new method performs significantly better than the traditional Metropolis-Hastings (M-H) sampler. With minor tailoring in using the rule, the multiple-try method can also be exploited to achieve the effect of a griddy Gibbs sampler without having to bear with griddy approximations, and the effect of a hit-and-run algorithm without having to figure out the required conditional distribution in a random direction. Tasks such as record linkage and multi-target tracking, which involve reconstructing the set of objects that underlie some observed data, are particularly challenging for probabilistic inference. Recent work has achieved efficient and accurate inference on such problems using Markov chain Monte Carlo (MCMC) techniques with customized proposal distributions. Currently, implementing such a system requires coding MCMC state representations and acceptance probability calculations that are specific to a particular application. An alternative approach, which we pursue in this paper, is to use a general-purpose probabilistic modeling language (such as BLOG) and a generic Metropolis-Hastings MCMC algorithm that supports user-supplied proposal distributions. Our algorithm gains flexibility by using MCMC states that are only partial descriptions of possible worlds; we provide conditions under which MCMC over partial worlds yields correct answers to queries. We also show how to use a context-specific Bayes net to identify the factors in the acceptance probability that need to be computed for a given proposed move. Experimental results on a citation matching task show that our general-purpose MCMC engine compares favorably with an application-specific system. In 1999 Kannan, Tet ali and Vempala proposed a MCMC method to uniformly sample all possible realizations of a given graphical degree sequence and conjectured its rapidly mixing nature. Recently their conjecture was proved affirmative for regular graphs (by Cooper, Dyer and Greenhill, 2007), for regular directed graphs (by Greenhill, 2011) and for half-regular bipartite graphs (by Miklos, Erdős and Soukup, 2013). Several heuristics on counting the number of possible realizations exist (via sampling processes), and while they work well in practice, so far no approximation guarantees exist for such an approach. This paper is the first to develop a method for counting realizations with provable approximation guarantee. In fact, we solve a slightly more general problem; besides the graphical degree sequence a small set of forbidden edges is also given. We show that for the general problem (which contains the Greenhill problem and the Miklos, Erdős and Soukup problem as special cases) the derived MCMC process is rapidly mixing. Further, we show that this new problem is self-reducible therefore it provides a fully polynomial randomized approximation scheme (a.k.a. FPRAS) for counting of all realizations. Can we make Bayesian posterior MCMC sampling more efficient when faced with very large datasets? We argue that computing the likelihood for N datapoints in the Metropolis-Hastings (MH) test to reach a single binary decision is computationally inefficient. We introduce an approximate MH rule based on a sequential hypothesis test that allows us to accept or reject samples with high confidence using only a fraction of the data required for the exact MH rule. While this method introduces an asymptotic bias, we show that this bias can be controlled and is more than offset by a decrease in variance due to our ability to draw more samples per unit of time.