A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model

Abstract

In Turitsyn, Chertkov and Vucelja [Phys. D 240 (2011) 410-414] a nonreversible Markov Chain Monte Carlo (MCMC) method on an augmented state space was introduced, here referred to as Lifted Metropolis-Hastings (LMH). A scaling limit of the magnetization process in the Curie-Weiss model is derived for LMH, as well as for Metropolis-Hastings (MH). The required jump rate in the high (supercritical) temperature regime equals n1/2 for LMH, which should be compared to n for MH. At the critical temperature, the required jump rate equals n3/4 for LMH and n3/2 for MH, in agreement with experimental results of Turitsyn, Chertkov and Vucelja (2011). The scaling limit of LMH turns out to be a nonreversible piecewise deterministic exponentially ergodic "zig-zag" Markov process.