Precomputing Strategy for Hamiltonian Monte Carlo Method Based on Regularity in Parameter Space

TL;DR

This paper introduces a precomputing strategy leveraging the regularity of parameter space to enhance the efficiency of Hamiltonian Monte Carlo algorithms, reducing computational costs in statistical inference tasks.

Contribution

It proposes a novel precomputing and interpolation approach for HMC that exploits parameter space smoothness to decrease repetitive calculations.

Findings

Significant reduction in computation time demonstrated.

Effective in high-dimensional problems using sparse grid interpolation.

Maintains high acceptance rates with improved efficiency.

Abstract

Markov Chain Monte Carlo (MCMC) algorithms play an important role in statistical inference problems dealing with intractable probability distributions. Recently, many MCMC algorithms such as Hamiltonian Monte Carlo (HMC) and Riemannian Manifold HMC have been proposed to provide distant proposals with high acceptance rate. These algorithms, however, tend to be computationally intensive which could limit their usefulness, especially for big data problems due to repetitive evaluations of functions and statistical quantities that depend on the data. This issue occurs in many statistic computing problems. In this paper, we propose a novel strategy that exploits smoothness (regularity) of parameter space to improve computational efficiency of MCMC algorithms. When evaluation of functions or statistical quantities are needed at a point in parameter space, interpolation from precomputed values or previous computed values is used. More specifically, we focus on Hamiltonian Monte Carlo (HMC) algorithms that use geometric information for faster exploration of probability distributions. Our proposed method is based on precomputing the required geometric information on a set of grids before running sampling information at nearby grids at each iteration of HMC. Sparse grid interpolation method is used for high dimensional problems. Tests on computational examples are shown to illustrate the advantages of our method.