Unbiased estimation using a class of diffusion processes

Hamza Mahmoud Ruzayqat, Alexandros Beskos, Dan Crisan, Ajay Jasra, Nikolas Kantas

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

We study the problem of unbiased estimation of expectations with respect to (w.r.t.) π a given, general probability measure on (Rd,B(Rd)) that is absolutely continuous with respect to a standard Gaussian measure. We focus on simulation associated to a particular class of diffusion processes, sometimes termed the Schrödinger-Föllmer Sampler, which is a simulation technique that approximates the law of a particular diffusion bridge process {Xt}t∈[0,1] on Rd, d∈N0. This latter process is constructed such that, starting at X0=0, one has X1∼π. Typically, the drift of the diffusion is intractable and, even if it were not, exact sampling of the associated diffusion is not possible. As a result, [10,16] consider a stochastic Euler-Maruyama scheme that allows the development of biased estimators for expectations w.r.t. π. We show that for this methodology to achieve a mean square error of O(ϵ2), for arbitrary ϵ>0, the associated cost is O(ϵ−5). We then introduce an alternative approach that provides unbiased estimates of expectations w.r.t. π, that is, it does not suffer from the time discretization bias or the bias related with the approximation of the drift function. We prove that to achieve a mean square error of O(ϵ2), the associated cost (which is random) is, with high probability, O(ϵ−2|log⁡(ϵ)|2+δ), for any δ>0. We implement our method on several examples including Bayesian inverse problems.
Original languageEnglish (US)
Pages (from-to)111643
JournalJournal of Computational Physics
Volume472
DOIs
StatePublished - Sep 24 2022

Bibliographical note

KAUST Repository Item: Exported on 2022-10-24
Acknowledged KAUST grant number(s): BAS/1/1681-01-01
Acknowledgements: AJ & HR were supported by KAUST baseline funding BAS/1/1681-01-01.

ASJC Scopus subject areas

  • Physics and Astronomy (miscellaneous)
  • Computer Science Applications

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