Bayesian Analysis

Function-Specific Mixing Times and Concentration Away from Equilibrium

Maxim Rabinovich, Aaditya Ramdas, Michael I. Jordan, and Martin J. Wainwright

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Abstract

Slow mixing is the central hurdle is applications of Markov chains, especially those used for Monte Carlo approximations (MCMC). In the setting of Bayesian inference, it is often only of interest to estimate the stationary expectations of a small set of functions, and so the usual definition of mixing based on total variation convergence may be too conservative. Accordingly, we introduce function-specific analogs of mixing times and spectral gaps, and use them to prove Hoeffding-like function-specific concentration inequalities. These results show that it is possible for empirical expectations of functions to concentrate long before the underlying chain has mixed in the classical sense, and we show that the concentration rates we achieve are optimal up to constants. We use our techniques to derive confidence intervals that are sharper than those implied by both classical Markov-chain Hoeffding bounds and Berry-Esseen-corrected central limit theorem (CLT) bounds. For applications that require testing, rather than point estimation, we show similar improvements over recent sequential testing results for MCMC. We conclude by applying our framework to real-data examples of MCMC, providing evidence that our theory is both accurate and relevant to practice.

Article information

Source
Bayesian Anal., Advance publication (2018), 28 pages.

Dates
First available in Project Euclid: 13 June 2019

Permanent link to this document
https://projecteuclid.org/euclid.ba/1560391236

Digital Object Identifier
doi:10.1214/19-BA1151

Subjects
Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Secondary: 62M05: Markov processes: estimation 62M02: Markov processes: hypothesis testing

Keywords
Markov chains Markov chain Monte Carlo concentration inequalities confidence intervals sequential testing statistics probability

Rights
Creative Commons Attribution 4.0 International License.

Citation

Rabinovich, Maxim; Ramdas, Aaditya; Jordan, Michael I.; Wainwright, Martin J. Function-Specific Mixing Times and Concentration Away from Equilibrium. Bayesian Anal., advance publication, 13 June 2019. doi:10.1214/19-BA1151. https://projecteuclid.org/euclid.ba/1560391236


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