Bounding Wasserstein distance with couplings

Niloy Biswas, Lester Mackey

Abstract: Markov chain Monte Carlo (MCMC) methods are a powerful tool in Bayesian computation. They provide asymptotically consistent estimates as the number of iterations tends to infinity. However, in large data applications, MCMC can be computationally expensive per iteration. This has catalyzed interest in sampling methods such as approximate MCMC, which trade off asymptotic consistency for improved computational speed. In this article, we propose estimators based on couplings of Markov chains to assess the quality of such asymptotically biased sampling methods. The estimators give empirical upper bounds of the Wassertein distance between the limiting distribution of the asymptotically biased sampling method and the original target distribution of interest. We apply our sample quality measures to two stylized examples in high dimensions.

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