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Maximal Couplings of the Metropolis-Hastings Algorithm

Guanyang Wang · John O'Leary · Pierre Jacob

Keywords: [ Algorithms, Optimization and Computation Methods ] [ Monte Carlo Methods ]


Couplings play a central role in the analysis of Markov chain Monte Carlo algorithms and appear increasingly often in the algorithms themselves, e.g. in convergence diagnostics, parallelization, and variance reduction techniques. Existing couplings of the Metropolis-Hastings algorithm handle the proposal and acceptance steps separately and fall short of the upper bound on one-step meeting probabilities given by the coupling inequality. This paper introduces maximal couplings which achieve this bound while retaining the practical advantages of current methods. We consider the properties of these couplings and examine their behavior on a selection of numerical examples.

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