Piecewise deterministic Markov processes for continuous-time Monte Carlo

Paul Fearnhead, Joris Bierkens, Murray Pollock, Gareth O. Roberts

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

Recently, there have been conceptually new developments in Monte Carlo methods through the introduction of new MCMC and sequential Monte Carlo (SMC) algorithms which are based on continuous-time, rather than discrete-time, Markov processes. This has led to some fundamentally new Monte Carlo algorithms which can be used to sample from, say, a posterior distribution. Interestingly, continuous-time algorithms seem particularly well suited to Bayesian analysis in big-data settings as they need only access a small sub-set of data points at each iteration, and yet are still guaranteed to target the true posterior distribution. Whilst continuous-time MCMC and SMC methods have been developed independently we show here that they are related by the fact that both involve simulating a piecewise deterministic Markov process. Furthermore, we show that the methods developed to date are just specific cases of a potentially much wider class of continuous-time Monte Carlo algorithms.We give an informal introduction to piecewise deterministic Markov processes, covering the aspects relevant to these new Monte Carlo algorithms, with a view to making the development of new continuoustime Monte Carlo more accessible. We focus on how and why sub-sampling ideas can be used with these algorithms, and aim to give insight into how these new algorithms can be implemented, and what are some of the issues that affect their efficiency.

Original languageEnglish
Pages (from-to)386-412
Number of pages27
JournalStatistical Science
Volume33
Issue number3
DOIs
Publication statusPublished - 1 Aug 2018
Externally publishedYes

Keywords

  • Bayesian statistics
  • Big data
  • Bouncy Particle Sampler
  • Continuous-time importance sampling
  • Control variates
  • SCALE
  • Zig- Zag Sampler

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  • Cite this

    Fearnhead, P., Bierkens, J., Pollock, M., & Roberts, G. O. (2018). Piecewise deterministic Markov processes for continuous-time Monte Carlo. Statistical Science, 33(3), 386-412. https://doi.org/10.1214/18-STS648