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On Hitting Time, Mixing Time and Geometric Interpretations of Metropolis–Hastings Reversiblizations

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Abstract

Given a target distribution \(\mu \) and a proposal chain with generator Q on a finite state space, in this paper, we study two types of Metropolis–Hastings (MH) generator \(M_1(Q,\mu )\) and \(M_2(Q,\mu )\) in a continuous-time setting. While \(M_1\) is the classical MH generator, we define a new generator \(M_2\) that captures the opposite movement of \(M_1\) and provide a comprehensive suite of comparison results ranging from hitting time and mixing time to asymptotic variance, large deviations and capacity, which demonstrate that \(M_2\) enjoys superior mixing properties than \(M_1\). To see that \(M_1\) and \(M_2\) are natural transformations, we offer an interesting geometric interpretation of \(M_1\), \(M_2\) and their convex combinations as \(\ell ^1\) minimizers between Q and the set of \(\mu \)-reversible generators, extending the results by Billera and Diaconis (Stat Sci 16(4):335–339, 2001). We provide two examples as illustrations. In the first one, we give explicit spectral analysis of \(M_1\) and \(M_2\) for Metropolized independent sampling, while in the second example, we prove a Laplace transform order of the fastest strong stationary time between birth–death \(M_1\) and \(M_2\).

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Acknowledgements

The authors would like to thank the anonymous referee for constructive comments that improved the presentation of the manuscript. Michael Choi acknowledges support from the Chinese University of Hong Kong, Shenzhen grant PF01001143. Lu-Jing Huang acknowledges support from NSFC No. 11771047 and Probability and Statistics: Theory and Application (IRTL1704). The authors would also like to thank Professor Yong-Hua Mao for his hospitality during their visit to Beijing Normal University, where this work was initiated.

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Authors and Affiliations

  1. Institute for Data and Decision Analytics, The Chinese University of Hong Kong, Shenzhen, 518172, Guangdong, People’s Republic of China

    Michael C. H. Choi

  2. College of Mathematics and Informatics, Fujian Normal University, Fuzhou, 350108, Fujian, People’s Republic of China

    Lu-Jing Huang

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  1. Michael C. H. Choi
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  2. Lu-Jing Huang
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Correspondence to Michael C. H. Choi.

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Choi, M.C.H., Huang, LJ. On Hitting Time, Mixing Time and Geometric Interpretations of Metropolis–Hastings Reversiblizations. J Theor Probab 33, 1144–1163 (2020). https://doi.org/10.1007/s10959-019-00903-2

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  • DOI: https://doi.org/10.1007/s10959-019-00903-2

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