Augustin Chevallier

Augustin Chevallier, Frédéric Cazals, Paul Fearnhead

Computing the volume of a polytope in high dimensions is computationally challenging but has wide applications. Current state-of-the-art algorithms to compute such volumes rely on efficient sampling of a Gaussian distribution restricted to the polytope, using e.g. Hamiltonian Monte Carlo. We present a new sampling strategy that uses a Piecewise Deterministic Markov Process. Like Hamiltonian Monte Carlo, this new method involves simulating trajectories of a non-reversible process and inherits similar good mixing properties. However, importantly, the process can be simulated more easily due to its piecewise linear trajectories - and this leads to a reduction of the computational cost by a factor of the dimension of the space. Our experiments indicate that our method is numerically robust and is one order of magnitude faster (or better) than existing methods using Hamiltonian Monte Carlo. On a single core processor, we report computational time of a few minutes up to dimension 500.

Augustin Chevallier, Paul Fearnhead, Matthew Sutton

A new class of Markov chain Monte Carlo (MCMC) algorithms, based on simulating piecewise deterministic Markov processes (PDMPs), have recently shown great promise: they are non-reversible, can mix better than standard MCMC algorithms, and can use subsampling ideas to speed up computation in big data scenarios. However, current PDMP samplers can only sample from posterior densities that are differentiable almost everywhere, which precludes their use for model choice. Motivated by variable selection problems, we show how to develop reversible jump PDMP samplers that can jointly explore the discrete space of models and the continuous space of parameters. Our framework is general: it takes any existing PDMP sampler, and adds two types of trans-dimensional moves that allow for the addition or removal of a variable from the model. We show how the rates of these trans-dimensional moves can be calculated so that the sampler has the correct invariant distribution. Simulations show that the new samplers can mix better than standard MCMC algorithms. Our empirical results show they are also more efficient than gradient-based samplers that avoid model choice through use of continuous spike-and-slab priors which replace a point mass at zero for each parameter with a density concentrated around zero.

Augustin Chevallier, Stefan Engblom

Stochastic computational models in the form of pure jump processes occur frequently in the description of chemical reactive processes, of ion channel dynamics, and of the spread of infections in populations. For spatially extended models, the computational complexity can be rather high such that approximate multiscale models are attractive alternatives. Within this framework some variables are described stochastically, while others are approximated with a macroscopic point value. We devise theoretical tools for analyzing the pathwise multiscale convergence of this type of variable splitting methods, aiming specifically at spatially extended models. Notably, the conditions we develop guarantee well-posedness of the approximations without requiring explicit assumptions of \textit{a priori} bounded solutions. We are also able to quantify the effect of the different sources of errors, namely the \emph{multiscale error} and the \emph{splitting error}, respectively, by developing suitable error bounds. Computational experiments on selected problems serve to illustrate our findings.