Spike-and-Slab Posterior Sampling in High Dimensions

Abstract

Posterior sampling with the spike-and-slab prior [MB88], a popular multimodal distribution used to model uncertainty in variable selection, is considered the theoretical gold standard method for Bayesian sparse linear regression [CPS09, Roc18]. However, designing provable algorithms for performing this sampling task is notoriously challenging. Existing posterior samplers for Bayesian sparse variable selection tasks either require strong assumptions about the signal-to-noise ratio (SNR) [YWJ16], only work when the measurement count grows at least linearly in the dimension [MW24], or rely on heuristic approximations to the posterior. We give the first provable algorithms for spike-and-slab posterior sampling that apply for any SNR, and use a measurement count sublinear in the problem dimension. Concretely, assume we are given a measurement matrix $\mathbf{X} \in \mathbb{R}^{n\times d}$ and noisy observations $\mathbf{y} = \mathbf{X}\mathbfθ^\star + \mathbfξ$ of a signal $\mathbfθ^\star$ drawn from a spike-and-slab prior $π$ with a Gaussian diffuse density and expected sparsity k, where $\mathbfξ \sim \mathcal{N}(\mathbb{0}_n, σ^2\mathbf{I}_n)$. We give a polynomial-time high-accuracy sampler for the posterior $π(\cdot \mid \mathbf{X}, \mathbf{y})$, for any SNR $σ^{-1}$ > 0, as long as $n \geq k^3 \cdot \text{polylog}(d)$ and $X$ is drawn from a matrix ensemble satisfying the restricted isometry property. We further give a sampler that runs in near-linear time $\approx nd$ in the same setting, as long as $n \geq k^5 \cdot \text{polylog}(d)$. To demonstrate the flexibility of our framework, we extend our result to spike-and-slab posterior sampling with Laplace diffuse densities, achieving similar guarantees when $σ= O(\frac{1}{k})$ is bounded.