- Volume 21, Number 3 (2015), 1304-1340.
Adaptive MCMC with online relabeling
When targeting a distribution that is artificially invariant under some permutations, Markov chain Monte Carlo (MCMC) algorithms face the label-switching problem, rendering marginal inference particularly cumbersome. Such a situation arises, for example, in the Bayesian analysis of finite mixture models. Adaptive MCMC algorithms such as adaptive Metropolis (AM), which self-calibrates its proposal distribution using an online estimate of the covariance matrix of the target, are no exception. To address the label-switching issue, relabeling algorithms associate a permutation to each MCMC sample, trying to obtain reasonable marginals. In the case of adaptive Metropolis ( Bernoulli 7 (2001) 223–242), an online relabeling strategy is required. This paper is devoted to the AMOR algorithm, a provably consistent variant of AM that can cope with the label-switching problem. The idea is to nest relabeling steps within the MCMC algorithm based on the estimation of a single covariance matrix that is used both for adapting the covariance of the proposal distribution in the Metropolis algorithm step and for online relabeling. We compare the behavior of AMOR to similar relabeling methods. In the case of compactly supported target distributions, we prove a strong law of large numbers for AMOR and its ergodicity. These are the first results on the consistency of an online relabeling algorithm to our knowledge. The proof underlines latent relations between relabeling and vector quantization.
Bernoulli Volume 21, Number 3 (2015), 1304-1340.
Received: October 2012
Revised: October 2013
First available in Project Euclid: 27 May 2015
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Bardenet, Rémi; Cappé, Olivier; Fort, Gersende; Kégl, Balázs. Adaptive MCMC with online relabeling. Bernoulli 21 (2015), no. 3, 1304--1340. doi:10.3150/13-BEJ578. https://projecteuclid.org/euclid.bj/1432732021
- Long version of the paper. This long version of the paper features an additional evaluated method for Section 2.2 (AM with posterior reordering), examples of the behavior of AMOR on a nonlinear symmetrized unimodal distribution and on a genuinely bimodal distribution, and complete proofs.