Kernel Adaptive Metropolis-Hastings
This addresses the problem of efficient sampling from complex, nonlinear distributions for practitioners in fields like Bayesian inference, particularly in contexts like Pseudo-Marginal MCMC where gradients are unavailable.
The paper introduces Kernel Adaptive Metropolis-Hastings, a method for sampling from target distributions with strongly nonlinear support, by embedding Markov chain trajectories into a reproducing kernel Hilbert space to adapt proposals based on local covariance. It outperforms fixed and adaptive samplers on multivariate, highly nonlinear distributions in real-world and synthetic examples, with code available for implementation.
A Kernel Adaptive Metropolis-Hastings algorithm is introduced, for the purpose of sampling from a target distribution with strongly nonlinear support. The algorithm embeds the trajectory of the Markov chain into a reproducing kernel Hilbert space (RKHS), such that the feature space covariance of the samples informs the choice of proposal. The procedure is computationally efficient and straightforward to implement, since the RKHS moves can be integrated out analytically: our proposal distribution in the original space is a normal distribution whose mean and covariance depend on where the current sample lies in the support of the target distribution, and adapts to its local covariance structure. Furthermore, the procedure requires neither gradients nor any other higher order information about the target, making it particularly attractive for contexts such as Pseudo-Marginal MCMC. Kernel Adaptive Metropolis-Hastings outperforms competing fixed and adaptive samplers on multivariate, highly nonlinear target distributions, arising in both real-world and synthetic examples. Code may be downloaded at https://github.com/karlnapf/kameleon-mcmc.