The reproducing Stein kernel approach for post-hoc corrected sampling (2001.09266v2)

Abstract: Stein importance sampling is a widely applicable technique based on kernelized Stein discrepancy, which corrects the output of approximate sampling algorithms by reweighting the empirical distribution of the samples. A general analysis of this technique is conducted for the previously unconsidered setting where samples are obtained via the simulation of a Markov chain, and applies to an arbitrary underlying Polish space. We prove that Stein importance sampling yields consistent estimators for quantities related to a target distribution of interest by using samples obtained from a geometrically ergodic Markov chain with a possibly unknown invariant measure that differs from the desired target. The approach is shown to be valid under conditions that are satisfied for a large number of unadjusted samplers, and is capable of retaining consistency when data subsampling is used. Along the way, a universal theory of reproducing Stein kernels is established, which enables the construction of kernelized Stein discrepancy on general Polish spaces, and provides sufficient conditions for kernels to be convergence-determining on such spaces. These results are of independent interest for the development of future methodology based on kernelized Stein discrepancies.