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  4. SPECTRAL GAPS FOR A METROPOLIS-HASTINGS ALGORITHM IN INFINITE DIMENSIONS
 
journal article

SPECTRAL GAPS FOR A METROPOLIS-HASTINGS ALGORITHM IN INFINITE DIMENSIONS

Hairer, Martin  
•
Stuart, Andrew M.
•
Vollmer, Sebastian J.
December 1, 2014
ANNALS OF APPLIED PROBABILITY

We study the problem of sampling high and infinite dimensional target measures arising in applications such as conditioned diffusions and inverse problems. We focus on those that arise from approximating measures on Hilbert spaces defined via a density with respect to a Gaussian reference measure. We consider the Metropolis Hastings algorithm that adds an accept reject mechanism to a Markov chain proposal in order to make the chain reversible with respect to the target measure. We focus on cases where the proposal is either a Gaussian random walk (RWM) with covariance equal to that of the reference measure or an Ornstein-Uhlenbeck proposal (pCN) for which the reference measure is invariant.Previous results in terms of scaling and diffusion limits suggested that the pCN has a convergence rate that is independent of the dimension while the RWM method has undesirable dimension-dependent behaviour. We confirm this claim by exhibiting a dimension-independent Wasserstein spectral gap for pCN algorithm for a large class of target measures. In our setting this Wasserstein spectral gap implies an L-2-spectral gap. We use both spectral gaps to show that the ergodic average satisfies a strong law of large numbers, the central limit theorem and nonasymptotic bounds on the mean square error, all dimension independent. In contrast we show that the spectral gap of the RWM algorithm applied to the reference measures degenerates as the dimension tends to infinity.

  • Details
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Type
journal article
DOI
10.1214/13-AAP982
Web of Science ID

WOS:000343372800007

Author(s)
Hairer, Martin  
Stuart, Andrew M.
Vollmer, Sebastian J.
Date Issued

2014-12-01

Publisher

INST MATHEMATICAL STATISTICS

Published in
ANNALS OF APPLIED PROBABILITY
Volume

24

Issue

6

Start page

2455

End page

2490

Subjects

CHAIN MONTE-CARLO

•

RECURRENT MARKOV-CHAINS

•

CENTRAL-LIMIT-THEOREM

•

MCMC METHODS

•

INVERSE PROBLEMS

•

ERROR-BOUNDS

•

INEQUALITIES

•

CONVERGENCE

•

SEMIGROUPS

•

SPACES

•

Science & Technology

•

Physical Sciences

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
FunderFunding(s)Grant NumberGrant URL

EPSRC

EP/K034154/1

ERC

Leverhulme Trust

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Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241201
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