On Unbiased Estimation for Discretized Models

Jeremy Heng, Ajay Jasra, Kody J H Law, Alexander Tarakanov

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

In this article, we consider computing expectations w.r.t. probability measures which are subject to discretization error. Examples include partially observed diffusion processes or inverse problems, where one may have to discretize time and/or space in order to practically work with the probability of interest. Given access only to these discretizations, we consider the construction of unbiased Monte Carlo estimators of expectations w.r.t. such target probability distributions. It is shown how to obtain such estimators using a novel adaptation of randomization schemes and Markov simulation methods. Under appropriate assumptions, these estimators possess finite variance and finite expected cost. There are two important consequences of this approach: (i) unbiased inference is achieved at the canonical complexity rate, and (ii) the resulting estimators can be generated independently, thereby allowing strong scaling to arbitrarily many parallel processors. Several algorithms are presented and applied to some examples of Bayesian inference problems with both simulated and real observed data.
Original languageEnglish (US)
Pages (from-to)616-645
Number of pages30
JournalSIAM/ASA Journal on Uncertainty Quantification
Volume11
Issue number2
DOIs
StatePublished - May 26 2023

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