Multiple projection MCMC algorithms on submanifolds

under review
  • We propose new Markov Chain Monte Carlo algorithms to sample probability distributions on submanifolds, which generalize previous methods by allowing the use of set-valued maps in the proposal step of the MCMC algorithms. The motivation for this generalization is that the numerical solvers used to project proposed moves to the submanifold of interest may find several solutions. We show that the new algorithms indeed sample the target probability measure correctly, thanks to some carefully enforced reversibility property. We demonstrate the interest of the new MCMC algorithms on illustrative numerical examples.

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Metadaten
Author:Tony Lelievre, Gabriel Stoltz, Wei Zhang
Document Type:Article
Publishing Institution:Zuse Institute Berlin (ZIB)
Year of first publication:2020
ArXiv Id:http://arxiv.org/abs/2003.09402