Precomputing strategy for Hamiltonian Monte Carlo method based on regularity in parameter space

Cheng Zhang (), Babak Shahbaba and Hongkai Zhao
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Cheng Zhang: University of California, Irvine
Babak Shahbaba: University of California, Irvine
Hongkai Zhao: University of California, Irvine

Computational Statistics, 2017, vol. 32, issue 1, No 12, 253-279

Abstract: Abstract Markov Chain Monte Carlo (MCMC) algorithms play an important role in statistical inference problems dealing with intractable probability distributions. Recently, many MCMC algorithms such as Hamiltonian Monte Carlo (HMC) and Riemannian Manifold HMC have been proposed to provide distant proposals with high acceptance rate. These algorithms, however, tend to be computationally intensive which could limit their usefulness, especially for big data problems due to repetitive evaluations of functions and statistical quantities that depend on the data. This issue occurs in many statistic computing problems. In this paper, we propose a novel strategy that exploits smoothness (regularity) in parameter space to improve computational efficiency of MCMC algorithms. When evaluation of functions or statistical quantities are needed at a point in parameter space, interpolation from precomputed values or previous computed values is used. More specifically, we focus on HMC algorithms that use geometric information for faster exploration of probability distributions. Our proposed method is based on precomputing the required geometric information on a set of grids before running sampling algorithm and approximating the geometric information for the current location of the sampler using the precomputed information at nearby grids at each iteration of HMC. Sparse grid interpolation method is used for high dimensional problems. Tests on computational examples are shown to illustrate the advantages of our method.

Keywords: Force map; Sparse grid interpolation; Domain of interest (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s00180-016-0683-1

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