Nishimura Akihiko, Zhang Zhenyu, Suchard Marc A
Department of Biostatistics, Bloomberg School of Public Health, Johns Hopkins University.
Department of Biostatistics, University of California, Los Angeles.
J Am Stat Assoc. 2025;120:1077-1089. doi: 10.1080/01621459.2024.2395587. Epub 2024 Dec 5.
Zigzag and other piecewise deterministic Markov process samplers have attracted significant interest for their non-reversibility and other appealing properties for Bayesian posterior computation. Hamiltonian Monte Carlo is another state-of-the-art sampler, exploiting fictitious momentum to guide Markov chains through complex target distributions. We establish an important connection between the zigzag sampler and a variant of Hamiltonian Monte Carlo based on Laplace-distributed momentum. The position and velocity component of the corresponding Hamiltonian dynamics travels along a zigzag path paralleling the Markovian zigzag process; however, the dynamics is non-Markovian in this position-velocity space as the momentum component encodes non-immediate pasts. This information is partially lost during a momentum refreshment step, in which we preserve its direction but re-sample magnitude. In the limit of increasingly frequent momentum refreshments, we prove that Hamiltonian zigzag converges strongly to its Markovian counterpart. This theoretical insight suggests that, when retaining full momentum information, Hamiltonian zigzag can better explore target distributions with highly correlated parameters by suppressing the diffusive behavior of Markovian zigzag. We corroborate this intuition by comparing performance of the two zigzag cousins on high-dimensional truncated multivariate Gaussians, including a 11,235-dimensional target arising from a Bayesian phylogenetic multivariate probit modeling of HIV virus data.
之字形采样器和其他分段确定性马尔可夫过程采样器因其不可逆性以及在贝叶斯后验计算中的其他吸引人的特性而引起了广泛关注。哈密顿蒙特卡罗是另一种先进的采样器,它利用虚拟动量来引导马尔可夫链通过复杂的目标分布。我们在之字形采样器和基于拉普拉斯分布动量的哈密顿蒙特卡罗变体之间建立了重要联系。相应哈密顿动力学的位置和速度分量沿着与马尔可夫之字形过程平行的之字形路径移动;然而,在这个位置 - 速度空间中,动力学是非马尔可夫的,因为动量分量编码了非直接的过去。在动量刷新步骤中,这些信息会部分丢失,在该步骤中我们保留其方向但重新采样幅度。在动量刷新频率越来越高的极限情况下,我们证明哈密顿之字形采样器会强烈收敛到其马尔可夫对应物。这一理论见解表明,当保留完整的动量信息时,哈密顿之字形采样器可以通过抑制马尔可夫之字形的扩散行为,更好地探索具有高度相关参数的目标分布。我们通过比较这两种之字形采样器在高维截断多元高斯分布上的性能来证实这一直觉,其中包括一个来自HIV病毒数据的贝叶斯系统发育多元概率模型的11235维目标分布。