Monte Carlo Integration Using Spatial Structure of Markov Random Field

Abstract

Monte Carlo integration (MCI) techniques are important in various fields. In this study, a new MCI technique for Markov random fields (MRFs) is proposed. MCI consists of two successive parts: the first involves sampling using a technique such as the Markov chain Monte Carlo method, and the second involves an averaging operation using the obtained sample points. In the averaging operation, a simple sample averaging technique is often employed. The method proposed in this paper improves the averaging operation by addressing the spatial structure of the MRF and is mathematically guaranteed to statistically outperform standard MCI using the simple sample averaging operation. Moreover, the proposed method can be improved in a systematic manner and is numerically verified by numerical simulations using planar Ising models. In the latter part of this paper, the proposed method is applied to the inverse Ising problem and we observe that it outperforms the maximum pseudo-likelihood estimation.