MCMC algorithms for sampling from multimodal and changing distributions
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Abstract
The problem of sampling from a probability distribution is a fundamental problem in Bayesian statistics and machine learning, with applications throughout the sciences. One common algorithmic framework for solving this problem is Markov Chain Monte Carlo (MCMC). However, a large gap exists between simple settings where MCMC has been proven to work, and complex settings arising in practice. In this thesis, I make progress towards closing this gap, focusing on two hurdles in particular.
In Chapter 2, I consider the problem of sampling from multimodal distributions. Many distributions arising in practice, from simple mixture models to deep generative models, are multimodal, so any Markov chain which makes local moves will get stuck in one mode. Although a variety of temperature heuristics are used to address this problem, their theoretical guarantees are not well-understood even for simple multimodal distributions. I analyze an algorithm combining Langevin diffusion with simulated tempering, a heuristic which speeds up mixing by transitioning between different temperatures of the distribution. I develop a general method to prove mixing time using ``soft decompositions'' of Markov processes, and use it to prove rapid mixing for (polynomial) mixtures of log-concave distributions.
In Chapter 3, I address the problem of sampling from the distributions