The reproducing Stein kernel approach for post-hoc corrected sampling

Liam Hodgkinson; Robert Salomone; Fred Roosta

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arXiv · 2001.09266

The reproducing Stein kernel approach for post-hoc corrected sampling

Liam Hodgkinson·Robert Salomone·Fred Roosta

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Abstract

Stein importance sampling is a widely applicable technique based on kernelized Stein discrepancy, which corrects the output of approximate sampling algorithms by reweighting the empirical distribution of the samples. A general analysis of this technique is conducted for the previously unconsidered setting where samples are obtained via the simulation of a Markov chain, and applies to an arbitrary underlying Polish space. We prove that Stein importance sampling yields consistent estimators for quantities related to a target distribution of interest by using samples obtained from a geometrically ergodic Markov chain with a possibly unknown invariant measure that differs from the desired target. The approach is shown to be valid under conditions that are satisfied for a large number of unadjusted samplers, and is capable of retaining consistency when data subsampling is used. Along the way, a universal theory of reproducing Stein kernels is established, which enables the construction of kernelized Stein discrepancy on general Polish spaces, and provides sufficient conditions for kernels to be convergence-determining on such spaces. These results are of independent interest for the development of future methodology based on kernelized Stein discrepancies.

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Liam Hodgkinson, Robert Salomone, Fred Roosta. 2020-01-25. The reproducing Stein kernel approach for post-hoc corrected sampling. https://arxiv.org/abs/2001.09266

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