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December 2018 Designing Simple and Efficient Markov Chain Monte Carlo Proposal Kernels
Yuttapong Thawornwattana, Daniel Dalquen, Ziheng Yang
Bayesian Anal. 13(4): 1037-1063 (December 2018). DOI: 10.1214/17-BA1084

Abstract

We discuss a few principles to guide the design of efficient Metropolis–Hastings proposals for well-behaved target distributions without deeply divided modes. We illustrate them by developing and evaluating novel proposal kernels using a variety of target distributions. Here, efficiency is measured by the variance ratio relative to the independent sampler. The first principle is to introduce negative correlation in the MCMC sample or to reduce positive correlation: to propose something new, propose something different. This explains why single-moded proposals such as the Gaussian random-walk is poorer than the uniform random walk, which is in turn poorer than the bimodal proposals that avoid values very close to the current value. We evaluate three new bimodal proposals called Box, Airplane and StrawHat, and find that they have similar performance to the earlier Bactrian kernels, suggesting that the general shape of the proposal matters, but not the specific distributional form. We propose the “Mirror” kernel, which generates new values around the mirror image of the current value on the other side of the target distribution (effectively the “opposite” of the current value). This introduces negative correlations, leading in many cases to efficiency of >100%. The second principle, applicable to multidimensional targets, is that a sequence of well-designed one-dimensional proposals can be more efficient than a single d-dimensional proposal. Thirdly, we suggest that variable transformation be explored as a general strategy for designing efficient MCMC kernels. We apply these principles to a high-dimensional Gaussian target with strong correlations, a logistic regression problem and a molecular clock dating problem to illustrate their practical utility.

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Yuttapong Thawornwattana. Daniel Dalquen. Ziheng Yang. "Designing Simple and Efficient Markov Chain Monte Carlo Proposal Kernels." Bayesian Anal. 13 (4) 1037 - 1063, December 2018. https://doi.org/10.1214/17-BA1084

Information

Published: December 2018
First available in Project Euclid: 10 November 2017

zbMATH: 06989975
MathSciNet: MR3855362
Digital Object Identifier: 10.1214/17-BA1084

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Vol.13 • No. 4 • December 2018
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