Efficient MCMC Sampling with Dimension-Free Convergence Rate using ADMM-type Splitting
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Performing exact Bayesian inference for complex models is intractable. Markov chain Monte Carlo (MCMC) algorithms can provide reliable approximations of the posterior distribution but are computationally expensive for large datasets. A standard approach to mitigate this complexity consists of using subsampling techniques or distributing the data across a cluster. However, these approaches are typically unreliable in high-dimensional scenarios. We focus here on an alternative class of MCMC schemes exploiting a splitting strategy akin to the one used by the celebrated ADMM optimization algorithm. These methods, proposed recently in [43, 51], appear to provide empirically state-of-the-art performance. We generalize here these ideas and propose a detailed theoretical study of one of these algorithms known as the Split Gibbs Sampler. Under regularity conditions, we establish explicit dimension-free convergence rates for this scheme using Ricci curvature and coupling ideas. We demonstrate experimentally the excellent performance of these MCMC schemes on various applications.
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