Posterior computation with the Gibbs zig-zag sampler

Matthias Sachs; Deborshee Sen; Jianfeng Lu; David Dunson

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arXiv · 2004.04254

Posterior computation with the Gibbs zig-zag sampler

Matthias Sachs·Deborshee Sen·Jianfeng Lu·David Dunson

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Abstract

An intriguing new class of piecewise deterministic Markov processes (PDMPs) has recently been proposed as an alternative to Markov chain Monte Carlo (MCMC). In order to facilitate the application to a larger class of problems, we propose a new class of PDMPs termed Gibbs zig-zag samplers, which allow parameters to be updated in blocks with a zig-zag sampler applied to certain parameters and traditional MCMC-style updates to others. We demonstrate the flexibility of this framework on posterior sampling for logistic models with shrinkage priors for high-dimensional regression and random effects and provide conditions for geometric ergodicity and the validity of a central limit theorem.

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Matthias Sachs, Deborshee Sen, Jianfeng Lu, David Dunson. 2020-04-08. Posterior computation with the Gibbs zig-zag sampler. https://arxiv.org/abs/2004.04254

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