{
  "id": "1712.02749",
  "version": "v1",
  "published": "2017-12-07T17:53:57.000Z",
  "updated": "2017-12-07T17:53:57.000Z",
  "title": "Exact active subspace Metropolis-Hastings, with applications to the Lorenz-96 system",
  "authors": [
    "Ingmar Schuster",
    "Paul G. Constantine",
    "T. J. Sullivan"
  ],
  "categories": [
    "stat.CO",
    "stat.AP"
  ],
  "abstract": "We consider the application of active subspaces to inform a Metropolis-Hastings algorithm, thereby aggressively reducing the computational dimension of the sampling problem. We show that the original formulation, as proposed by Constantine, Kent, and Bui-Thanh (SIAM J. Sci. Comput., 38(5):A2779-A2805, 2016), possesses asymptotic bias. Using pseudo-marginal arguments, we develop an asymptotically unbiased variant. Our algorithm is applied to a synthetic multimodal target distribution as well as a Bayesian formulation of a parameter inference problem for a Lorenz-96 system.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-12-07T17:53:57.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "65C40",
      "65C05",
      "62H25"
    ],
    "keywords": [
      "exact active subspace metropolis-hastings",
      "application",
      "synthetic multimodal target distribution",
      "parameter inference problem",
      "possesses asymptotic bias"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}