November 2022 Adaptive schemes for piecewise deterministic Monte Carlo algorithms
Andrea Bertazzi, Joris Bierkens
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Bernoulli 28(4): 2404-2430 (November 2022). DOI: 10.3150/21-BEJ1423

Abstract

The Bouncy Particle sampler (BPS) and the Zig-Zag sampler (ZZS) are continuous time, non-reversible Monte Carlo methods based on piecewise deterministic Markov processes. Experiments show that the speed of convergence of these samplers can be affected by the shape of the target distribution, as for instance in the case of anisotropic targets. We propose an adaptive scheme that iteratively learns all or part of the covariance matrix of the target and takes advantage of the obtained information to modify the underlying process with the aim of increasing the speed of convergence. Moreover, we define an adaptive scheme that automatically tunes the refreshment rate of the BPS or ZZS. We prove ergodicity and a law of large numbers for all the proposed adaptive algorithms. Finally, we show the benefits of the adaptive samplers with several numerical simulations.

Acknowledgements

This work is part of the research programme ‘Zigzagging through computational barriers’ with project number 016.Vidi.189.043, which is financed by the Dutch Research Council (NWO). We acknowledge helpful discussions with Gareth Roberts. We are thankful to the Associate Editor and the two Referees for their comments, which led to several improvements in the manuscript.

Citation

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Andrea Bertazzi. Joris Bierkens. "Adaptive schemes for piecewise deterministic Monte Carlo algorithms." Bernoulli 28 (4) 2404 - 2430, November 2022. https://doi.org/10.3150/21-BEJ1423

Information

Received: 1 December 2020; Published: November 2022
First available in Project Euclid: 17 August 2022

zbMATH: 1501.65001
MathSciNet: MR4474548
Digital Object Identifier: 10.3150/21-BEJ1423

Keywords: Adaptive Markov process Monte Carlo , Bouncy particle sampler , ergodicity , Piecewise deterministic Markov processes , Zig-Zag Sampler

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Vol.28 • No. 4 • November 2022
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