Algebraic Geometrical Analysis of Metropolis Algorithm When Parameters Are Non-identifiable
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arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866916269352026112 |
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| author | Nagata, Kenji Mototake, Yoh-ichi |
| author_facet | Nagata, Kenji Mototake, Yoh-ichi |
| contents | The Metropolis algorithm is one of the Markov chain Monte Carlo (MCMC) methods that realize sampling from the target probability distribution. In this paper, we are concerned with the sampling from the distribution in non-identifiable cases that involve models with Fisher information matrices that may fail to be invertible. The theoretical adjustment of the step size, which is the variance of the candidate distribution, is difficult for non-identifiable cases. In this study, to establish such a principle, the average acceptance rate, which is used as a guideline to optimize the step size in the MCMC method, was analytically derived in non-identifiable cases. The optimization principle for the step size was developed from the viewpoint of the average acceptance rate. In addition, we performed numerical experiments on some specific target distributions to verify the effectiveness of our theoretical results. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_00369 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Algebraic Geometrical Analysis of Metropolis Algorithm When Parameters Are Non-identifiable Nagata, Kenji Mototake, Yoh-ichi Statistics Theory Machine Learning The Metropolis algorithm is one of the Markov chain Monte Carlo (MCMC) methods that realize sampling from the target probability distribution. In this paper, we are concerned with the sampling from the distribution in non-identifiable cases that involve models with Fisher information matrices that may fail to be invertible. The theoretical adjustment of the step size, which is the variance of the candidate distribution, is difficult for non-identifiable cases. In this study, to establish such a principle, the average acceptance rate, which is used as a guideline to optimize the step size in the MCMC method, was analytically derived in non-identifiable cases. The optimization principle for the step size was developed from the viewpoint of the average acceptance rate. In addition, we performed numerical experiments on some specific target distributions to verify the effectiveness of our theoretical results. |
| title | Algebraic Geometrical Analysis of Metropolis Algorithm When Parameters Are Non-identifiable |
| topic | Statistics Theory Machine Learning |
| url | https://arxiv.org/abs/2406.00369 |