Regularization and Computation with high-dimensional spike-and-slab posterior distributions
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We consider the Bayesian analysis of a high-dimensional statistical model with a spike-and-slab prior, and we study the forward-backward envelop of the posterior distribution -- denoted Π̌_γ for some regularization parameter γ>0. Viewing Π̌_γ as a pseudo-posterior distribution, we work out a set of sufficient conditions under which it contracts towards the true value of the parameter as γ↓ 0, and p (the dimension of the parameter space) diverges to ∞. In linear regression models the contraction rate matches the contraction rate of the true posterior distribution. We also study a practical Markov Chain Monte Carlo (MCMC) algorithm to sample from Π̌_γ. In the particular case of the linear regression model, and focusing on models with high signal-to-noise ratios, we show that the mixing time of the MCMC algorithm depends crucially on the coherence of the design matrix, and on the initialization of the Markov chain. In the most favorable cases, we show that the computational complexity of the algorithm scales with the dimension p as O(pe^s_^2), where s_ is the number of non-zeros components of the true parameter. We provide some simulation results to illustrate the theory. Our simulation results also suggest that the proposed algorithm (as well as a version of the Gibbs sampler of Narisetti and He (2014)) mix poorly when poorly initialized, or if the design matrix has high coherence.
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