Journal Article

Parallel MCMC algorithms: theoretical foundations, algorithm design, case studies

Krometis, Justin A, Mondaini, Cecilia F, Holbrook, Andrew J, Glatt-Holtz, Nathan E

2024

Overview

Abstract Parallel Markov Chain Monte Carlo (pMCMC) algorithms generate clouds of proposals at each step to efficiently resolve a target probability distribution $\\mu $. We build a rigorous foundational framework for pMCMC algorithms that situates these methods within a unified ‘extended phase space’ measure-theoretic formalism. Drawing on our recent work that provides a comprehensive theory for reversible single-proposal methods, we herein derive general criteria for multiproposal acceptance mechanisms that yield ergodic chains on general state spaces. Our formulation encompasses a variety of methodologies, including proposal cloud resampling and Hamiltonian methods, while providing a basis for the derivation of novel algorithms. In particular, we obtain a top-down picture for a class of methods arising from ‘conditionally independent’ proposal structures. As an immediate application of this formalism, we identify several new algorithms including a multiproposal version of the popular preconditioned Crank–Nicolson (pCN) sampler suitable for high- and infinite-dimensional target measures that are absolutely continuous with respect to a Gaussian base measure. To supplement the aforementioned theoretical results, we carry out a selection of numerical case studies that evaluate the efficacy of these novel algorithms. First, noting that the true potential of pMCMC algorithms arises from their natural parallelizability and the ease with which they map to modern high-performance computing architectures, we provide a limited parallelization study using TensorFlow and a graphics processing unit to scale pMCMC algorithms that leverage as many as 100k proposals at each step. Second, we use our multiproposal pCN algorithm (mpCN) to resolve a selection of problems in Bayesian statistical inversion for partial differential equations motivated by fluid measurement. These examples provide preliminary evidence of the efficacy of mpCN for high-dimensional target distributions featuring complex geometries and multimodal structures.

• Publisher: Oxford University Press
• Subject: Algorithms / Case studies / Partial differential equations