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Accelerating MCMC by Rare Intermittent Resets
Journal
Lecture Notes of the Institute for Computer Sciences, Social-Informatics and Telecommunications Engineering, LNICST
ISSN
18678211
Date Issued
2021-01-01
Author(s)
Borkar, Vivek S.
Chaudhuri, Syomantak
Abstract
We propose a scheme for accelerating Markov Chain Monte Carlo by introducing random resets that become increasingly rare in a precise sense. We show that this still leads to the desired asymptotic average and establish an associated concentration bound. We show by numerical experiments that this scheme can be used to advantage in order to accelerate convergence by a judicious choice of the resetting mechanism.
Volume
404 LNICST
Subjects