An asymptotic Peskun ordering and its application to lifted samplers

Abstract

A Peskun ordering between two samplers, implying a dominance of one over the other, is known among the Markov chain Monte Carlo community for being a remarkably strong result, but it is also known for being one that is notably difficult to establish. Indeed, one has to prove that the probability to reach a state $\mathbf{y}$ from a state $\mathbf{x}$, using a sampler, is greater than or equal to the probability using the other sampler, and this must hold for all pairs $(\mathbf{x}, \mathbf{y})$ such that $\mathbf{x} \neq \mathbf{y}$. We provide in this paper a weaker version that does not require an inequality between the probabilities for all these states: essentially, the dominance holds asymptotically, as a varying parameter grows without bound, as long as the states for which the probabilities are greater than or equal to belong to a mass-concentrating set. The weak ordering turns out to be useful to compare lifted samplers for partially-ordered discrete state-spaces with their Metropolis--Hastings counterparts. An analysis in great generality yields a qualitative conclusion: they asymptotically perform better in certain situations (and we are able to identify them), but not necessarily in others (and the reasons why are made clear). A thorough study in a specific context of graphical-model simulation is also conducted