Control Variates for Reversible MCMC Samplers

A general methodology is introduced for the construction and effective application of control variates to estimation problems involving data from reversible MCMC samplers. We propose the use of a specific class of functions as control variates, and we introduce a new, consistent estimator for the values of the coefficients of the optimal linear combination of these functions. The form and proposed construction of the control variates is derived from our solution of the Poisson equation associated with a specific MCMC scenario. The new estimator, which can be applied to the same MCMC sample, is derived from a novel, finite-dimensional, explicit representation for the optimal coefficients. The resulting variance-reduction methodology is primarily applicable when the simulated data are generated by a conjugate random-scan Gibbs sampler. MCMC examples of Bayesian inference problems demonstrate that the corresponding reduction in the estimation variance is significant, and that in some cases it can be quite dramatic. Extensions of this methodology in several directions are given, including certain families of Metropolis-Hastings samplers and hybrid Metropolis-within-Gibbs algorithms. Corresponding simulation examples are presented illustrating the utility of the proposed methods. All methodological and asymptotic arguments are rigorously justified under easily verifiable and essentially minimal conditions.Comment: 44 pages; 6 figures; 5 table

N-fold way simulated tempering for pairwise interaction point processes

Pairwise interaction point processes with strong interaction are usually difficult to sample. We discuss how Besag lattice processes can be used in a simulated tempering MCMC scheme to help with the simulation of such processes. We show how the N-fold way algorithm can be used to sample the lattice processes efficiently and introduce the N-fold way algorithm into our simulated tempering scheme. To calibrate the simulated tempering scheme we use the Wang-Landau algorithm

Efficient Bayesian estimation of Markov model transition matrices with given stationary distribution

Direct simulation of biomolecular dynamics in thermal equilibrium is challenging due to the metastable nature of conformation dynamics and the computational cost of molecular dynamics. Biased or enhanced sampling methods may improve the convergence of expectation values of equilibrium probabilities and expectation values of stationary quantities significantly. Unfortunately the convergence of dynamic observables such as correlation functions or timescales of conformational transitions relies on direct equilibrium simulations. Markov state models are well suited to describe both, stationary properties and properties of slow dynamical processes of a molecular system, in terms of a transition matrix for a jump process on a suitable discretiza- tion of continuous conformation space. Here, we introduce statistical estimation methods that allow a priori knowledge of equilibrium probabilities to be incorporated into the estimation of dynamical observables. Both, maximum likelihood methods and an improved Monte Carlo sampling method for reversible transition ma- trices with fixed stationary distribution are given. The sampling approach is applied to a toy example as well as to simulations of the MR121-GSGS-W peptide, and is demonstrated to converge much more rapidly than a previous approach in [F. Noe, J. Chem. Phys. 128, 244103 (2008)]Comment: 15 pages, 8 figure