Gradient Estimation via Differentiable Metropolis-Hastings

Abstract: Metropolis-Hastings estimates intractable expectations - can differentiating the algorithm estimate their gradients? The challenge is that Metropolis-Hastings trajectories are not conventionally differentiable due to the discrete accept/reject steps. Using a technique based on recoupling chains, our method differentiates through the Metropolis-Hastings sampler itself, allowing us to estimate gradients with respect to a parameter of otherwise intractable expectations. Our main contribution is a proof of strong consistency and a central limit theorem for our estimator under assumptions that hold in common Bayesian inference problems. The proofs augment the sampler chain with latent information, and formulate the estimator as a stopping tail functional of this augmented chain. We demonstrate our method on examples of Bayesian sensitivity analysis and optimizing a random walk Metropolis proposal.