ASYMPTOTIC ANALYSIS OF THE RANDOM WALK METROPOLIS ALGORITHM ON RIDGED DENSITIES

• 成果类型: Article
• 署名作者: Beskos, Alexandros; Roberts, Gareth; Thiery, Alexandre; Pillai, Natesh
• 署名单位: University of London; University College London; University of Warwick; National University of Singapore; Harvard University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/18-AAP1380
• 发表日期: 2018
• 页码: 2966-3001
• 关键词: monte-carlo methods; diffusion limits; high dimensions; target distributions; WEAK-CONVERGENCE; langevin

摘要

We study the asymptotic behaviour of the Random Walk Metropolis algorithm on ridged probability densities where most of the probability mass is distributed along some key directions. Such class of probability measures arise in various applied contexts including for instance Bayesian inverse problems where the posterior measure concentrates on a manifold when the noise variance goes to zero. When the target measure concentrates on a linear manifold, we derive analytically a diffusion limit for the Random Walk Metropolis Markov chain as the scale parameter goes to zero. In contrast to the existing works on scaling limits, our limiting stochastic differential equation does not in general have a constant diffusion coefficient. Our results show that in some cases, the usual practice of adapting the step-size to control the acceptance probability might be sub-optimal as the optimal acceptance probability is zero (in the limit).