Stereographic Markov Chain Monte Carlo

Jun Yang; Krzysztof Łatuszyński; Gareth O. Roberts

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arXiv · 2205.12112

Stereographic Markov Chain Monte Carlo

Jun Yang·Krzysztof Łatuszyński·Gareth O. Roberts

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Abstract

High-dimensional distributions, especially those with heavy tails, are notoriously difficult for off-the-shelf MCMC samplers: the combination of unbounded state spaces, diminishing gradient information, and local moves results in empirically observed ``stickiness'' and poor theoretical mixing properties -- lack of geometric ergodicity. In this paper, we introduce a new class of MCMC samplers that map the original high-dimensional problem in Euclidean space onto a sphere and remedy these notorious mixing problems. In particular, we develop random-walk Metropolis type algorithms as well as versions of the Bouncy Particle Sampler that are uniformly ergodic for a large class of light and heavy-tailed distributions and also empirically exhibit rapid convergence in high dimensions. In the best scenario, the proposed samplers can enjoy the ``blessings of dimensionality'' that the convergence is faster in higher dimensions.

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Jun Yang, Krzysztof Łatuszyński, Gareth O. Roberts. 2022-05-24. Stereographic Markov Chain Monte Carlo. https://arxiv.org/abs/2205.12112

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