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Boost your favorite Markov Chain Monte Carlo sampler using Kac's theorem: the Kick-Kac teleportation algorithm

Séminaire
Organisme intervenant (ou équipe pour les séminaires internes)
CITI, Telecom SudParis
Nom intervenant
Randal Douc
Résumé

The present paper focuses on the problem of sampling from a given target distribution π defined on some general state space. To this end, we introduce a novel class of non-reversible Markov chains, each chain being defined on an extended state space and having an invariant probability measure admitting π as a marginal distribution. The proposed methodology is inspired by a new formulation of Kac's theorem and allows global and local dynamics to be smoothly combined. Under mild conditions, the corresponding Markov transition kernel can be shown to be irreducible and Harris recurrent. In addition, we establish that geometric ergodicity holds under appropriate conditions on the global and local dynamics. Finally, we illustrate numerically the use of the proposed method and its potential benefits in comparison to existing Markov chain Monte Carlo (MCMC) algorithms. Joint work with Alain Durmus (Ecole Polytechnique), Aurélien Enfroy (Orsay), Jimmy Olsson (KTH).

Lieu
Amphi C2.0.37
Date du jour
Date de fin du Workshop