Transport map-accelerated Markov chain Monte Carlo for Bayesian parameter inference
Tuesday, 16 December 2014: 2:55 PM
We introduce a new framework for efficient posterior sampling in Bayesian inference, using a combination of optimal transport maps and the Metropolis-Hastings rule. The core idea is to use transport maps to transform typical Metropolis proposal mechanisms (e.g., random walks, Langevin methods, Hessian-preconditioned Langevin methods) into non-Gaussian proposal distributions that can more effectively explore the target density. Our approach adaptively constructs a lower triangular transport map—i.e., a Knothe-Rosenblatt re-arrangement—using information from previous MCMC states, via the solution of an optimization problem. Crucially, this optimization problem is convex regardless of the form of the target distribution. It is solved efficiently using Newton or quasi-Newton methods, but the formulation is such that these methods require no derivative information from the target probability distribution; the target distribution is instead represented via samples. Sequential updates using the alternating direction method of multipliers enable efficient and parallelizable adaptation of the map even for large numbers of samples. We show that this approach uses inexact or truncated maps to produce an adaptive MCMC algorithm that is ergodic for the exact target distribution. Numerical demonstrations on a range of parameter inference problems involving both ordinary and partial differential equations show multiple order-of-magnitude speedups over standard MCMC techniques, measured by the number of effectively independent samples produced per model evaluation and per unit of wallclock time.