Archive for non-reversible MCMC

scalable Monte Carlo for Bayesian learning [book review]

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , , , , , , , on September 26, 2025 by xi'an

This book by Paul Fearnhead, Christopher Nemeth, Chris Oates, and Chris Sherlock is part of the IMS Monograph series. And published by Cambridge University Press. It covers most recent developments in MCMC methods, namely stochastic gradient MCMC (Chap. 3), non-reversible MCMC (Chap. 4), continuous-time MCMC (Chap. 5), and assessing and improving MCMC (Chap. 6). I find the book remarkable in its attention to rigour and clarity, without falling into overly technical derivations. It is perfectly suited for a graduate course to students with a solid mathematical background. In short, had I considered a new edition of our Monte Carlo Statistical Methods book to incorporate these advances, I could not done such a good job!

The first chapter provides a quick refresher of the background, from Monte Carlo principles, to Markov chains, SDEs, and the kernel “trick” (which requires a dozen pages of exposition). Nonetheless, it contains side remarks of true interest, including some suggestions I had not previously seen, as for instance an unusual introduction of the HMC algorithm as an underdamped Langevin diffusion. Chapter 2 prolongates this recap by covering reversible MCMC algorithms and the attached optimal scalings. This is done in a particularly friendly presentation that I intend to use in my own course. The HMC section is probably the best coverage I have seen on the topic, including most naturally the leapfrog steps.

Chapter 3 gets into stochastic gradient MCMC as an approximate MCMC, with nice arguments and formal convergence bounds. Again quite efficiently, if focussing almost solely on Gaussian settings (but including a neural network example). Similarly, Chapter 4 provides intuitive (if informal) arguments on the worth of non-reversible algorithms that are well-suited to a textbook of this level. This chapter introduces a PDMP sampler like the discrete bouncy particle sampler.

Chapter 5 is a (nicely) monstrous coverage of continuous time MCMC samplers that reaches very recent advances on PDMPs. The focus is on expressing them as limits, in order to derive mixing rates without extreme mathematical steps. (The chapter even includes a mention to the coordinate sampler that my PhD student Wu Changye derived in 2018!) Again a chapter I plan to use when teaching MCM methods, if possibly skipping some of the 66 pages.

Chapter 6 completes the monograph with a presentation of convergence assessment tools and diagnostics, exploiting the kernel trick, as well as convergence bounds that reflect very recent research in that domain. The conclusive section on optimal weights and optimal thinning will presumably be new to most readers. (Making me wonder if a link can be found with our importance Markov chain construct.)

[Disclaimer about potential self-plagiarism as usual: this post or an edited version will eventually appear in my Books Review section in CHANCE.]

Scalable Monte Carlo for Bayesian Learning [not yet a book review]

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , , , , , , , , , , on May 11, 2025 by xi'an

webinar on Monte Carlo Methods

Posted in Books, Statistics, University life with tags , , , , , , , , , , , , on October 7, 2024 by xi'an


Hey, there is a new international Monte Carlo webinar starting this semester! Taking place at 8:30 am PT, 11:30 am ET (which currently set it at 16:30 in Tórshavn time and 17:30 in Longyearbyen time!). The first speakers on the list are

  1. Persi Diaconis (who gave a talk last week)
  2. Mike Giles (tomorrow!)
  3. Art Owen (on quasi-Monte Carlo)
  4. Gareth O Roberts (Warwick)

Enjoy!

Alexandre Bouchard-Côté, 2004 CRM-SSC Prize in Statistics winner

Posted in Statistics with tags , , , , , , , , , , , , , , , on May 18, 2024 by xi'an

robustified Hamiltonian

Posted in Books, Statistics, University life with tags , , , , , , , , , on April 1, 2022 by xi'an

In Gregynog, last week, Lionel Riou-Durant (Warwick) presented his recent work with Jure Vogrinc on Metropolis Adjusted Langevin Trajectories, which I had also heard in the Séminaire Parisien de Statistique two weeks ago. Starting with a nice exposition of Hamiltonian Monte Carlo, highlighting its drawbacks. This includes the potentially damaging impact of poorly tuning the integration time. Their proposal is to act upon the velocity in the Hamiltonian through Langevin (positive) damping, which also preserves the stationarity.  (And connects with randomised HMC.) One theoretical in the paper is that the Langevin diffusion achieves the fastest mixing rate among randomised HMCs. From a practical perspective, there exists a version of the leapfrog integrator that adapts to this setting and can be implemented as a Metropolis adjustment. (Hence the MALT connection.) An interesting feature is that the process as such is ergodic, which avoids renewal steps (and U-turns). (There are still calibration parameters to adjust, obviously.)