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Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation

Part of: Limit theorems Markov processes

Published online by Cambridge University Press:  15 November 2019

Aleksandar Mijatović  and
Jure Vogrinc
Aleksandar Mijatović*
Affiliation:
University of Warwick and The Alan Turing Institute
Jure Vogrinc*
Affiliation:
University of Warwick
*
* Postal address: Department of Statistics, University of Warwick, Coventry CV4 7AL, UK.
* Postal address: Department of Statistics, University of Warwick, Coventry CV4 7AL, UK.
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Abstract

There are two ways of speeding up Markov chain Monte Carlo algorithms: (a) construct more complex samplers that use gradient and higher-order information about the target and (b) design a control variate to reduce the asymptotic variance. While the efficiency of (a) as a function of dimension has been studied extensively, this paper provides the first results linking the efficiency of (b) with dimension. Specifically, we construct a control variate for a d-dimensional random walk Metropolis chain with an independent, identically distributed target using the solution of the Poisson equation for the scaling limit in [30]. We prove that the asymptotic variance of the corresponding estimator is bounded above by a multiple of $\log(d)/d$ over the spectral gap of the chain. The proof hinges on large deviations theory, optimal Young’s inequality and Berry–Esseen-type bounds. Extensions of the result to non-product targets are discussed.

Keywords

Asymptotic variancePoisson equation for diffusionsvariance reductionscaling limits of Metropolis–Hastings chainoptimal Young’s inequalityBerry–Esseen boundlarge deviations

MSC classification

Primary: 60J05: Discrete-time Markov processes on general state spaces 60J22: Computational methods in Markov chains
Secondary: 60J35: Transition functions, generators and resolvents 60F05: Central limit and other weak theorems 60F10: Large deviations
Type
Original Article
Information
Advances in Applied Probability , Volume 51 , Issue 4 , December 2019 , pp. 994 - 1026
Copyright
© Applied Probability Trust 2019 

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