Convergence of Dirichlet Forms for MCMC Optimal Scaling with Dependent Target Distributions on Large Graphs

Publication date: 30 October 2022

Abstract: Markov chain Monte Carlo (MCMC) algorithms have played a significant role in statistics, physics, machine learning and others, and they are the only known general and efficient approach for some high-dimensional problems. The random walk Metropolis (RWM) algorithm as the most classical MCMC algorithm, has had a great influence on the development and practice of science and engineering. The behavior of the RWM algorithm in high-dimensional problems is typically investigated through a weak convergence result of diffusion processes. In this paper, we utilize the Mosco convergence of Dirichlet forms in analyzing the RWM algorithm on large graphs, whose target distribution is the Gibbs measure that includes any probability measure satisfying a Markov property. The abstract and powerful theory of Dirichlet forms allows us to work directly and naturally on the infinite-dimensional space, and our notion of Mosco convergence allows Dirichlet forms associated with the RWM chains to lie on changing Hilbert spaces. Through the optimal scaling problem, we demonstrate the impressive strengths of the Dirichlet form approach over the standard diffusion approach.

Has companion code repository: https://github.com/patning/MCMC_Optimal_Scaling

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