论文标题
平行MCMC算法:理论基础,算法设计,案例研究
Parallel MCMC Algorithms: Theoretical Foundations, Algorithm Design, Case Studies
论文作者
论文摘要
平行马尔可夫链蒙特卡洛(PMCMC)算法在每个步骤上生成建议云,以有效地解决目标概率分布。我们为PMCMC算法建立了一个严格的基础框架,该算法将这些方法定位在统一的“扩展相空间”措施理论形式主义中。利用我们最近的工作为可逆的单个提议方法提供了全面的理论,我们在这里提到了多种验收机制的一般标准,这些机制在一般状态空间上产生千古链。我们的公式包括各种方法,包括提案云的重采样和哈密顿方法,同时为新算法的推导提供了基础。特别是,我们获得了由“有条件独立”的建议结构产生的一类方法的自上而下的图片。作为立即应用,我们确定了几种新算法,包括流行的预处理曲柄 - 尼科尔森(PCN)采样器的多抛光版本,适用于适用于高斯基础测量绝对连续的高和无限目标措施。为了补充我们的理论结果,我们进行了一系列数值研究,以评估这些新算法的功效。首先,请注意,PMCMC算法的真正潜力来自其自然并行性,我们使用TensorFlow和图形处理单元提供了有限的并行化研究,以扩展每个步骤的PMCMC算法。其次,我们使用多功能PCN算法(MPCN)解决贝叶斯统计反转中的一系列问题,用于由流体测量动机动机的部分微分方程。这些示例提供了MPCN对具有复杂几何形状和多模式结构的高维靶标分布的功效的初步证据。
Parallel Markov Chain Monte Carlo (pMCMC) algorithms generate clouds of proposals at each step to efficiently resolve a target probability distribution. We build a rigorous foundational framework for pMCMC algorithms that situates these methods within a unified 'extended phase space' measure-theoretic formalism. Drawing on our recent work that provides a comprehensive theory for reversible single proposal methods, we herein derive general criteria for multiproposal acceptance mechanisms which yield ergodic chains on general state spaces. Our formulation encompasses a variety of methodologies, including proposal cloud resampling and Hamiltonian methods, while providing a basis for the derivation of novel algorithms. In particular, we obtain a top-down picture for a class of methods arising from 'conditionally independent' proposal structures. As an immediate application, we identify several new algorithms including a multiproposal version of the popular preconditioned Crank-Nicolson (pCN) sampler suitable for high- and infinite-dimensional target measures which are absolutely continuous with respect to a Gaussian base measure. To supplement our theoretical results, we carry out a selection of numerical case studies that evaluate the efficacy of these novel algorithms. First, noting that the true potential of pMCMC algorithms arises from their natural parallelizability, we provide a limited parallelization study using TensorFlow and a graphics processing unit to scale pMCMC algorithms that leverage as many as 100k proposals at each step. Second, we use our multiproposal pCN algorithm (mpCN) to resolve a selection of problems in Bayesian statistical inversion for partial differential equations motivated by fluid measurement. These examples provide preliminary evidence of the efficacy of mpCN for high-dimensional target distributions featuring complex geometries and multimodal structures.