Forgetting the starting distribution in finite interacting tempering
  Markov chain Monte Carlo (MCMC) methods are frequently used to approximately simulate high-dimensional, multimodal probability distributions. In adaptive MCMC methods, the transition kernel is changed "on the fly" in the hope to speed up convergence. We study interacting tempering, an adaptive MCMC algorithm based on interacting Markov chains, that can be seen as a simplified version of the equi-energy sampler. Using a coupling argument, we show that under easy to verify assumptions on the target distribution (on a finite space), the interacting tempering process rapidly forgets its starting distribution. The result applies, among others, to exponential random graph models, the Ising and Potts models (in mean field or on a bounded degree graph), as well as (Edwards-Anderson) Ising spin glasses. As a cautionary note, we also exhibit an example of a target distribution for which the interacting tempering process rapidly forgets its starting distribution, but takes an exponential number of steps (in the dimension of the state space) to converge to its limiting distribution. As a consequence, we argue that convergence diagnostics that are based on demonstrating that the process has forgotten its starting distribution might be of limited use for adaptive MCMC algorithms like interacting tempering. 
Winfried Barta
math.PR