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arXiv · 2610.36431

Fixed-Horizon Error Rates for Array-RQMC Metropolis-Hastings

Jiarui Du·Josef Dick·Zexin Pan·Houying Zhu
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Abstract

This paper studies randomised quasi-Monte Carlo (RQMC) methods for Metropolis--Hastings (MH) algorithms, whose accept--reject discontinuity complicates RQMC analysis. To circumvent some of these complications, we study Array-RQMC for MH, with $N$ replicated chains evolved over a fixed time horizon $T$, where we make use of Hilbert sorting for joint multidimensional updates at each step. For one-dimensional MH and bounded-variation test functions, we prove a sampling mean squared error bound of $\mathcal O_T(N^{-4/3})$ relative to the finite-horizon expectation. For product targets, coordinatewise Array-RQMC Metropolis-within-Gibbs retains this exponent for additive marginal bounded-variation tests, with constants that may depend on dimension. With Gaussian random-walk proposals, the bounds extend to scalar and additive marginal polynomials with an additional factor $(\log N)^\ell$, where $\ell$ is the maximum polynomial degree. For joint updates in state dimension $p$ using $p$ proposal uniforms, we provide a conditional $\mathcal O_T(N^{-1-1/(p+2)})$ framework under regularity assumptions that are not verified for the joint multidimensional examples. Numerical experiments support the verified one-dimensional theory and demonstrate variance reduction for joint Hilbert-sorted updates, including Bayesian logistic regression, while illustrating the limitations of these gains as dimension increases.

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Jiarui Du, Josef Dick, Zexin Pan, Houying Zhu. 2026-10-27. Fixed-Horizon Error Rates for Array-RQMC Metropolis-Hastings. https://arxiv.org/abs/2610.36431

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