{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/reinforcement-learning-for-adaptive-mcmc","title":"Reinforcement Learning for Adaptive MCMC","arxiv_id":"2405.13574","date":"2024-05-22","proceeding":null,"authors":["Congye Wang","Wilson Chen","Heishiro Kanagawa","Chris. J. Oates"],"abstract":"An informal observation, made by several authors, is that the adaptive design of a Markov transition kernel has the flavour of a reinforcement learning task. Yet, to-date it has remained unclear how to actually exploit modern reinforcement learning technologies for adaptive MCMC. The aim of this paper is to set out a general framework, called Reinforcement Learning Metropolis--Hastings, that is theoretically supported and empirically validated. Our principal focus is on learning fast-mixing Metropolis--Hastings transition kernels, which we cast as deterministic policies and optimise via a policy gradient. Control of the learning rate provably ensures conditions for ergodicity are satisfied. The methodology is used to construct a gradient-free sampler that out-performs a popular gradient-free adaptive Metropolis--Hastings algorithm on $\\approx 90 \\%$ of tasks in the PosteriorDB benchmark.","url_abs":"https://arxiv.org/abs/2405.13574v1","url_pdf":"https://arxiv.org/pdf/2405.13574v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"reinforcement-learning-for-adaptive-mcmc","repo_url":"https://github.com/congyewang/Reinforcement-Learning-for-Adaptive-MCMC","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"pytorch","reach":null}],"tasks":[{"task_slug":"reinforcement-learning","task_name":"Reinforcement Learning"},{"task_slug":"reinforcement-learning-2","task_name":"reinforcement-learning"}],"methods":[{"method_slug":"focus","method_name":"Focus"},{"method_slug":"set","method_name":"SET"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=2405.13574","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}