The Polynomial Stein Discrepancy for Assessing Moment Convergence

• URL: http://arxiv.org/abs/2412.05135v1
• Date: Fri, 06 Dec 2024 15:51:04 GMT
• Title: The Polynomial Stein Discrepancy for Assessing Moment Convergence
• Authors: Narayan Srinivasan, Matthew Sutton, Christopher Drovandi, Leah F South,
• Abstract summary: We propose a novel method for measuring the discrepancy between a set of samples and a desired posterior distribution for Bayesian inference. We show that the test has higher power than its competitors in several examples, and at a lower computational cost.
• Score: 1.0835264351334324
• License:
• Abstract: We propose a novel method for measuring the discrepancy between a set of samples and a desired posterior distribution for Bayesian inference. Classical methods for assessing sample quality like the effective sample size are not appropriate for scalable Bayesian sampling algorithms, such as stochastic gradient Langevin dynamics, that are asymptotically biased. Instead, the gold standard is to use the kernel Stein Discrepancy (KSD), which is itself not scalable given its quadratic cost in the number of samples. The KSD and its faster extensions also typically suffer from the curse-of-dimensionality and can require extensive tuning. To address these limitations, we develop the polynomial Stein discrepancy (PSD) and an associated goodness-of-fit test. While the new test is not fully convergence-determining, we prove that it detects differences in the first r moments in the Bernstein-von Mises limit. We empirically show that the test has higher power than its competitors in several examples, and at a lower computational cost. Finally, we demonstrate that the PSD can assist practitioners to select hyper-parameters of Bayesian sampling algorithms more efficiently than competitors.

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