Journal of Applied Probability

Random construction of interpolating sets for high-dimensional integration

Mark Huber and Sarah Schott

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Abstract

Computing the value of a high-dimensional integral can often be reduced to the problem of finding the ratio between the measures of two sets. Monte Carlo methods are often used to approximate this ratio, but often one set will be exponentially larger than the other, which leads to an exponentially large variance. A standard method of dealing with this problem is to interpolate between the sets with a sequence of nested sets where neighboring sets have relative measures bounded above by a constant. Choosing such a well-balanced sequence can rarely be done without extensive study of a problem. Here a new approach that automatically obtains such sets is presented. These well-balanced sets allow for faster approximation algorithms for integrals and sums using fewer samples, and better tempering and annealing Markov chains for generating random samples. Applications, such as finding the partition function of the Ising model and normalizing constants for posterior distributions in Bayesian methods, are discussed.

Article information

Source
J. Appl. Probab. Volume 51, Number 1 (2014), 92-105.

Dates
First available in Project Euclid: 25 March 2014

Permanent link to this document
https://projecteuclid.org/euclid.jap/1395771416

Digital Object Identifier
doi:10.1239/jap/1395771416

Mathematical Reviews number (MathSciNet)
MR3189444

Zentralblatt MATH identifier
1291.60205

Subjects
Primary: 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43]
Secondary: 11K45: Pseudo-random numbers; Monte Carlo methods 65D30: Numerical integration

Keywords
Integration Monte Carlo method cooling schedule self-reducible

Citation

Huber, Mark; Schott, Sarah. Random construction of interpolating sets for high-dimensional integration. J. Appl. Probab. 51 (2014), no. 1, 92--105. doi:10.1239/jap/1395771416. https://projecteuclid.org/euclid.jap/1395771416


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