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The Gibbs block update is a probability kernel

Statement

For every supplied proper full conditional kernel, the transition formula in Exact Gibbs block update defines a probability kernel on the full product state space.

Facts & Assumptions

Given: A finite product state space, target probability π, block B, and proper full conditional probability kernel KB.

[F1]

Each section of KB is a pointwise probability measure and each event evaluation is measurable. Proper full conditional kernel.

[F2]

The block-update formula integrates the indicator of the measurable splice map against KB(x−B,⋅). Exact Gibbs block update.

[F3]

For a probability kernel, integrating a nonnegative product-measurable function gives a measurable function of the source point. Measurability of integration against a kernel.

[F4]

Increasing nonnegative functions pass through each integral by monotone convergence. Monotone convergence for the integral.

Proof

Given: The hypotheses in the Statement and facts [F1]–[F4].

1.1F1F2F4construct

For each fixed x, the map u↦splice⁡B(x−B,u) is measurable by the finite product sigma-algebra. Thus PB(x,∅)=0, PB(x,S)=∫1 dKB(x−B)=1, and for pairwise disjoint Cn the indicators of their inverse images sum increasingly to the indicator of the inverse image of ⋃nCn. [F4] gives countable additivity, so PB(x,⋅) is a probability measure.

2.1F1F2F3step 1.1∎

For fixed measurable C⊆S, the function (x,u)↦1C(splice⁡B(x−B,u)) is product-measurable because coordinate projection and splicing are measurable for the finite product sigma-algebra. The lifted kernel x↦KB(x−B,⋅) is a probability kernel by [F1] and measurability of the projection. Applying [F3] to this kernel gives measurability of x↦PB(x,C). Thus every evaluation is measurable and every section is a probability measure.

Depends on

Used by

Cited to discharge well-definedness by Exact Gibbs block update.

Dependency tree · two levels

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Sources