Parallel computations for Metropolis Markov chains with Picard maps
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arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866917393143431168 |
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| author | Grazzi, Sebastiano Zanella, Giacomo |
| author_facet | Grazzi, Sebastiano Zanella, Giacomo |
| contents | We develop parallel algorithms for simulating zeroth-order (aka gradient-free) Metropolis Markov chains based on the Picard map. For Random Walk Metropolis Markov chains targeting log-concave distributions $π$ on $\mathbb{R}^d$, our algorithm generates samples close to $π$ in $\mathcal{O}(\sqrt{d})$ parallel iterations with $\mathcal{O}(\sqrt{d})$ processors, therefore speeding up the convergence of the corresponding sequential implementation by a factor $\sqrt{d}$. Furthermore, a modification of our algorithm generates samples from an approximate measure $ π_r$ in $\mathcal{O}(1)$ parallel iterations and $\mathcal{O}(d)$ processors. We empirically assess the performance of the proposed algorithms in high-dimensional regression problems, an epidemic model where the gradient is unavailable and a real-word application in precision medicine. Our algorithms are straightforward to implement and may constitute a useful tool for practitioners seeking to sample from a prescribed distribution $π$ using only point-wise evaluations of $\logπ$ and parallel computing. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_09762 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Parallel computations for Metropolis Markov chains with Picard maps Grazzi, Sebastiano Zanella, Giacomo Computation Methodology 60J22, 65C05 We develop parallel algorithms for simulating zeroth-order (aka gradient-free) Metropolis Markov chains based on the Picard map. For Random Walk Metropolis Markov chains targeting log-concave distributions $π$ on $\mathbb{R}^d$, our algorithm generates samples close to $π$ in $\mathcal{O}(\sqrt{d})$ parallel iterations with $\mathcal{O}(\sqrt{d})$ processors, therefore speeding up the convergence of the corresponding sequential implementation by a factor $\sqrt{d}$. Furthermore, a modification of our algorithm generates samples from an approximate measure $ π_r$ in $\mathcal{O}(1)$ parallel iterations and $\mathcal{O}(d)$ processors. We empirically assess the performance of the proposed algorithms in high-dimensional regression problems, an epidemic model where the gradient is unavailable and a real-word application in precision medicine. Our algorithms are straightforward to implement and may constitute a useful tool for practitioners seeking to sample from a prescribed distribution $π$ using only point-wise evaluations of $\logπ$ and parallel computing. |
| title | Parallel computations for Metropolis Markov chains with Picard maps |
| topic | Computation Methodology 60J22, 65C05 |
| url | https://arxiv.org/abs/2506.09762 |