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The zig-zag process and super-efficient sampling for Bayesian analysis of big data. (English) Zbl 1417.65008

Summary: Standard MCMC methods can scale poorly to big data settings due to the need to evaluate the likelihood at each iteration. There have been a number of approximate MCMC algorithms that use sub-sampling ideas to reduce this computational burden, but with the drawback that these algorithms no longer target the true posterior distribution. We introduce a new family of Monte Carlo methods based upon a multidimensional version of the Zig-Zag process of the first and the last authors [Ann. Appl. Probab. 27, No. 2, 846–882 (2017; Zbl 1370.60039)], a continuous-time piecewise deterministic Markov process. While traditional MCMC methods are reversible by construction (a property which is known to inhibit rapid convergence) the Zig-Zag process offers a flexible nonreversible alternative which we observe to often have favourable convergence properties. We show how the Zig-Zag process can be simulated without discretisation error, and give conditions for the process to be ergodic. Most importantly, we introduce a sub-sampling version of the Zig-Zag process that is an example of an exact approximate scheme, that is, the resulting approximate process still has the posterior as its stationary distribution. Furthermore, if we use a control-variate idea to reduce the variance of our unbiased estimator, then the Zig-Zag process can be super-efficient: after an initial preprocessing step, essentially independent samples from the posterior distribution are obtained at a computational cost which does not depend on the size of the data.

MSC:

65C05 Monte Carlo methods
65C60 Computational problems in statistics (MSC2010)
62F15 Bayesian inference
60J25 Continuous-time Markov processes on general state spaces

Citations:

Zbl 1370.60039
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