Nonreversible jump algorithms for Bayesian nested model selection

Journal article

Nonreversible Markov chain Monte Carlo methods often outperform their reversible counterparts in terms of asymptotic variance of ergodic averages and mixing properties. Lifting the state-space is a generic technique for constructing such samplers. The idea is to think of the random variables we want to generate as position variables and to associate to them direction variables so as to design Markov chains which do not have the diffusive behavior often exhibited by reversible schemes. In this article, we explore the benefits of using such ideas in the context of Bayesian model choice for nested models, a class of models for which the model indicator variable is an ordinal random variable. By lifting this model indicator variable, we obtain nonreversible jump algorithms, a nonreversible version of the popular reversible jump algorithms. This simple algorithmic modification provides samplers which can empirically outperform their reversible counterparts at no extra computational cost. The code to reproduce all experiments is available online.

Authors: Gagnon, P; Doucet, A

• Publication status: Published
• Peer review status: Peer reviewed
• Publisher: Taylor and Francis
• Journal: Journal of Computational and Graphical Statistics
• Volume: 30
• Issue: 2
• Pages: 312-323
• Publication date: 2020-11-10
• Acceptance date: 2020-09-04
• DOI: 10.1080/10618600.2020.1826955
• EISSN: 1537-2715
• ISSN: 1061-8600
• Language: English
• Keywords: weak convergence; Peskun-Tierney ordering; Markov chain Monte Carlo methods; FFR; Bayesian statistics; non-reversible Markov chains