A Metropolis-class sampler for targets with non-convex support

Abstract

We aim to improve upon the exploration of the general-purpose random walk Metropolis algorithm when the target has non-convex support $A \subset \mathbb{R}^d$, by reusing proposals in $A^c$ which would otherwise be rejected. The algorithm is Metropolis-class and under standard conditions the chain satisfies a strong law of large numbers and central limit theorem. Theoretical and numerical evidence of improved performance relative to random walk Metropolis are provided. Issues of implementation are discussed and numerical examples, including applications to global optimisation and rare event sampling, are presented.