Efficient Bernoulli factory MCMC for intractable posteriors

Dootika Vats; Flávio Gonçalves; Krzysztof Łatuszyński; Gareth O. Roberts

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arXiv · 2004.07471

Efficient Bernoulli factory MCMC for intractable posteriors

Dootika Vats·Flávio Gonçalves·Krzysztof Łatuszyński·Gareth O. Roberts

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Abstract

Accept-reject based Markov chain Monte Carlo (MCMC) algorithms have traditionally utilised acceptance probabilities that can be explicitly written as a function of the ratio of the target density at the two contested points. This feature is rendered almost useless in Bayesian posteriors with unknown functional forms. We introduce a new family of MCMC acceptance probabilities that has the distinguishing feature of not being a function of the ratio of the target density at the two points. We present two stable Bernoulli factories that generate events within this class of acceptance probabilities. The efficiency of our methods rely on obtaining reasonable local upper or lower bounds on the target density and we present two classes of problems where such bounds are viable: Bayesian inference for diffusions and MCMC on constrained spaces. The resulting portkey Barker's algorithms are exact and computationally more efficient that the current state-of-the-art.

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Dootika Vats, Flávio Gonçalves, Krzysztof Łatuszyński, Gareth O. Roberts. 2020-04-16. Efficient Bernoulli factory MCMC for intractable posteriors. https://arxiv.org/abs/2004.07471

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