Metropolis Monte Carlo sampling: convergence, localization transition and optimality

Abstract

Among random sampling methods, Markov chain Monte Carlo (MC) algorithms are foremost. Using a combination of analytical and numerical approaches, we study their convergence properties toward the steady state, within a random walk Metropolis scheme. Analyzing the relaxation properties of some model algorithms sufficiently simple to enable analytic progress, we show that the deviations from the target steady-state distribution can feature a localization transition as a function of the characteristic length of the attempted jumps defining the random walk. While the iteration of the MC algorithm converges to equilibrium for all choices of jump parameters, the localization transition changes drastically the asymptotic shape of the difference between the probability distribution reached after a finite number of steps of the algorithm and the target equilibrium distribution. We argue that the relaxation before and after the localization transition is respectively limited by diffusion and rejection rates.