Paper detail

On hitting time, mixing time and geometric interpretations of Metropolis-Hastings reversiblizations

Given a target distribution $μ$ and a proposal chain with generator $Q$ on a finite state space, in this paper we study two types of Metropolis-Hastings (MH) generator $M_1(Q,μ)$ and $M_2(Q,μ)$ in a continuous-time setting. While $M_1$ is the classical MH generator, we define a new generator $M_2$ that captures the opposite movement of $M_1$ and provide a comprehensive suite of comparison results ranging from hitting time and mixing time to asymptotic variance, large deviations and capacity, which demonstrate that $M_2$ enjoys superior mixing properties than $M_1$. To see that $M_1$ and $M_2$ are natural transformations, we offer an interesting geometric interpretation of $M_1$, $M_2$ and their convex combinations as $\ell^1$ minimizers between $Q$ and the set of $μ$-reversible generators, extending the results by Billera and Diaconis (2001). We provide two examples as illustrations. In the first one we give explicit spectral analysis of $M_1$ and $M_2$ for Metropolised independent sampling, while in the second example we prove a Laplace transform order of the fastest strong stationary time between birth-death $M_1$ and $M_2$.