The Coordinate Sampler: A Non-Reversible Gibbs-like MCMC Sampler - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

The Coordinate Sampler: A Non-Reversible Gibbs-like MCMC Sampler

Résumé

In this article, we derive a novel non-reversible, continuous-time Markov chain Monte Carlo (MCMC) sampler, called Coordinate Sampler, based on a piecewise deterministic Markov process (PDMP), which can be seen as a variant of the Zigzag sampler. In addition to proving a theoretical validation for this new sampling algorithm, we show that the Markov chain it induces exhibits geometrical ergodicity convergence, for distributions whose tails decay at least as fast as an exponential distribution and at most as fast as a Gaussian distribution. Several numerical examples highlight that our coordinate sampler is more efficient than the Zigzag sampler, in terms of effective sample size.

Dates et versions

hal-01968772 , version 1 (03-01-2019)

Identifiants

Citer

Christian Robert, Changye Wu, Christian P. Robert. The Coordinate Sampler: A Non-Reversible Gibbs-like MCMC Sampler. 2019. ⟨hal-01968772⟩
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