Enhanced gradient-based MCMC in discrete spaces
Published in Transactions on Machine Learning Research, 2022
We introduce several discrete Metropolis-Hastings samplers that are conceptually inspired by MALA, and demonstrate their strong empirical performance across a range of challenging sampling problems in Bayesian inference and energy-based modelling. Methodologically, we identify why discrete analogues to \emph{preconditioned} MALA are generally intractable, motivating us to introduce a new kind of preconditioning based on auxiliary variables and the “Gaussian integral trick”.
Recommended citation: Enhanced gradient-based MCMC in discrete spaces. Rhodes, B. and Gutmann, M. Transactions on Machine Learning Research (2022). http://benrhodes26.github.io/files/enhanced_mcmc.pdf