论文标题

双重幸福:通过控制变体增强L-LAG耦合的耦合增长

Double Happiness: Enhancing the Coupled Gains of L-lag Coupling via Control Variates

论文作者

Craiu, Radu V., Meng, Xiao-Li

论文摘要

最近提议的公正马尔可夫链蒙特卡洛(MCMC)的L-lag耦合要求MCMC从业者和理论家共同庆祝。对于从业者来说,它规避了决定烧伤期或何时终止MCMC抽样过程的棘手问题,并为安全并行实施打开了大门。对于理论家而言,它提供了一个强大的工具,可以在任何有限数量的迭代元素下建立MCMC近似的确切误差的优雅且易于估计的界限。关于偏置术语的偶然性观察使我们将自然可用的控制变体引入L-LAG耦合估计器中。反过来,此扩展可以增强L型链耦合的耦合增长,因为它会导致更有效的无偏估计量,并且更好地绑定了MCMC迭代的总变化误差,尽管随着L的增加,增益会减少。具体而言,从理论上讲,新的上限永远不会超过先前给出的上限。我们还认为,L-Lag耦合代表了对未来的耦合,从而通过减少对公正不偏见的一个普遍不可能的要求,从而从完美的完美采样类型的耦合中脱颖而出,在大多数实际情况下,这是一种值得的折衷,这是一种有价值的权衡。当引入控制变量时,数值实验显示了更紧密的界限和效率的增长,从而支持了理论分析。

The recently proposed L-lag coupling for unbiased Markov chain Monte Carlo (MCMC) calls for a joint celebration by MCMC practitioners and theoreticians. For practitioners, it circumvents the thorny issue of deciding the burn-in period or when to terminate an MCMC sampling process, and opens the door for safe parallel implementation. For theoreticians, it provides a powerful tool to establish elegant and easily estimable bounds on the exact error of an MCMC approximation at any finite number of iterates. A serendipitous observation about the bias-correcting term leads us to introduce naturally available control variates into the L-lag coupling estimators. In turn, this extension enhances the coupled gains of L-lag coupling, because it results in more efficient unbiased estimators, as well as a better bound on the total variation error of MCMC iterations, albeit the gains diminish as L increases. Specifically, the new upper bound is theoretically guaranteed to never exceed the one given previously. We also argue that L-lag coupling represents a coupling for the future, breaking from the coupling-from-the-past type of perfect sampling, by reducing the generally unachievable requirement of being perfect to one of being unbiased, a worthwhile trade-off for ease of implementation in most practical situations. The theoretical analysis is supported by numerical experiments that show tighter bounds and a gain in efficiency when control variates are introduced.

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