Efficient MCMC for Gibbs Random Fields using pre-computation
|Title:||Efficient MCMC for Gibbs Random Fields using pre-computation||Authors:||Boland, Aidan; Friel, Nial; Marie, Florian||Permanent link:||http://hdl.handle.net/10197/10866||Date:||31-May-2018||Online since:||2019-07-09T11:19:29Z||Abstract:||Bayesian inference of Gibbs random fields (GRFs) is often referred to as a doubly intractable problem, since the likelihood function is intractable. The exploration of the posterior distribution of such models is typically carried out with a sophisticated Markov chain Monte Carlo (MCMC) method, the exchange algorithm (Murray et al., 2006), which requires simulations from the likelihood function at each iteration. The purpose of this paper is to consider an approach to dramatically reduce this computational overhead. To this end we introduce a novel class of algorithms which use realizations of the GRF model, simulated offline, at locations specified by a grid that spans the parameter space. This strategy speeds up dramatically the posterior inference, as illustrated on several examples. However, using the pre-computed graphs introduces a noise in the MCMC algorithm, which is no longer exact. We study the theoretical behaviour of the resulting approximate MCMC algorithm and derive convergence bounds using a recent theoretical development on approximate MCMC methods.||Funding Details:||Science Foundation Ireland||Type of material:||Journal Article||Publisher:||The Institute of Mathematical Statistics and the Bernoulli Society||Journal:||Electronic Journal of Statistics||Volume:||12||Issue:||2||Start page:||4138||End page:||4179||Copyright (published version):||2018 the Authors||Keywords:||Machine Learning & Statistics; Bayesian; Gibbs random fields (GRFs); Markov chain Monte Carlo (MCMC) method; Algorithms; GRF model; MCMC algorithm||DOI:||10.1214/18-EJS1504||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Insight Research Collection|
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