Iterated sampling importance resampling with adaptive number of proposals

Abstract

Iterated sampling importance resampling (i-SIR) is a Markov chain Monte Carlo (MCMC) algorithm which is based on $N$ independent proposals. As $N$ grows, its samples become nearly independent, but with an increased computational cost. We discuss a method which finds an approximately optimal number of proposals $N$ in terms of the asymptotic efficiency. The optimal $N$ depends on both the mixing properties of the i-SIR chain and the (parallel) computing costs. Our method for finding an appropriate $N$ is based on an approximate asymptotic variance of the i-SIR, which has similar properties as the i-SIR asymptotic variance, and a generalised i-SIR transition having fractional `number of proposals.' These lead to an adaptive i-SIR algorithm, which tunes the number of proposals automatically during sampling. Our experiments demonstrate that our approximate efficiency and the adaptive i-SIR algorithm have promising empirical behaviour. We also present new theoretical results regarding the i-SIR, such as the convexity of asymptotic variance in the number of proposals, which can be of independent interest.