Optimal scaling of MCMC beyond Metropolis. (16th June 2023)

• Record Type: Journal Article
• Authors: Agrawal, Sanket; Vats, Dootika; Łatuszyński, Krzysztof; Roberts, Gareth O.
• Is Part Of: Advances in applied probability. Volume 55:Number 2(2023)
• Page Start: 492
• Page End: 509
• Publication Date: 2023-06-16
• Subjects: Barker's acceptance -- weak convergence -- Metropolis–Hastings -- lazy MH -- tuning; 65C05 -- 60F05; Probabilities -- Periodicals; Stochastic models -- Periodicals; Electronic journals; Periodicals; 519.2
• DOI: 10.1017/apr.2022.37
• Languages: English
• ISSNs: 0001-8678

Abstract

Abstract: The problem of optimally scaling the proposal distribution in a Markov chain Monte Carlo algorithm is critical to the quality of the generated samples. Much work has gone into obtaining such results for various Metropolis–Hastings (MH) algorithms. Recently, acceptance probabilities other than MH are being employed in problems with intractable target distributions. There are few resources available on tuning the Gaussian proposal distributions for this situation. We obtain optimal scaling results for a general class of acceptance functions, which includes Barker's and lazy MH. In particular, optimal values for Barker's algorithm are derived and found to be significantly different from that obtained for the MH algorithm. Our theoretical conclusions are supported by numerical simulations indicating that when the optimal proposal variance is unknown, tuning to the optimal acceptance probability remains an effective strategy.