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Bounding Wasserstein distance with couplings
Niloy Biswas · Lester Mackey

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in Your Model is Wrong: Robustness and misspecification in probabilistic modeling »

Markov chain Monte Carlo (MCMC) methods are a powerful tool in Bayesian computation. They provide asymptotically consistent estimates as the number of iterations tends to infinity. However, in large data applications, MCMC can be computationally expensive per iteration. This has catalyzed interest in sampling methods such as approximate MCMC, which trade off asymptotic consistency for improved computational speed. In this article, we propose estimators based on couplings of Markov chains to assess the quality of such asymptotically biased sampling methods. The estimators give empirical upper bounds of the Wassertein distance between the limiting distribution of the asymptotically biased sampling method and the original target distribution of interest. We establish theoretical guarantees for our upper bounds and show that our estimators can remain effective in high dimensions. We apply our sample quality measures to stochastic gradient MCMC, variational Bayes, and Laplace approximations for tall data and to approximate MCMC for high-dimensional linear regression and high-dimensional logistic regression.

Author Information

Niloy Biswas (Harvard University)
Lester Mackey (Microsoft Research)

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