Improving Asymptotic Variance of MCMC Estimators: Non-reversible Chains are Better

Details Improving Asymptotic Variance of MCMC Estimators: Non-reversible Chains are Better Improving Asymptotic Variance of MCMC Estimators: Non-reversible Chains are Better

2004-07-15

arxiv.org/abs/math/0407281v1

Mathematics

Probability

Scientific paper

I show how any reversible Markov chain on a finite state space that is irreducible, and hence suitable for estimating expectations with respect to its invariant distribution, can be used to construct a non-reversible Markov chain on a related state space that can also be used to estimate these expectations, with asymptotic variance at least as small as that using the reversible chain (typically smaller). The non-reversible chain achieves this improvement by avoiding (to the extent possible) transitions that backtrack to the state from which the chain just came. The proof that this modification cannot increase the asymptotic variance of an MCMC estimator uses a new technique that can also be used to prove Peskun's (1973) theorem that modifying a reversible chain to reduce the probability of staying in the same state cannot increase asymptotic variance. A non-reversible chain that avoids backtracking will often take little or no more computation time per transition than the original reversible chain, and can sometime produce a large reduction in asymptotic variance, though for other chains the improvement is slight. In addition to being of some practical interest, this construction demonstrates that non-reversible chains have a fundamental advantage over reversible chains for MCMC estimation. Research into better MCMC methods may therefore best be focused on non-reversible chains.

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