Explicit error bounds for Markov chain Monte Carlo

DOI10.4064/DM485-0-1zbMath1273.60090arXiv1108.3201OpenAlexW1995772505MaRDI QIDQ2896206

Daniel Rudolf

Publication date: 13 July 2012

Published in: Dissertationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.3201

zbMATH Keywords

Markov chain Monte Carloerror boundsburn-inspectral gapmean square errorgeometric ergodicityuniform ergodicitylog-concave densitymetropolis algorithmball walkhit-and-run algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Ergodicity, mixing, rates of mixing (37A25)

Related Items (27)

Adaptive Huber regression on Markov-dependent data ⋮ Hit-and-Run for Numerical Integration ⋮ On a Metropolis-Hastings importance sampling estimator ⋮ Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors ⋮ Geometric Ergodicity for Hamiltonian Monte Carlo on Compact Manifolds ⋮ Complexity results for MCMC derived from quantitative bounds ⋮ Some Results on the Complexity of Numerical Integration ⋮ Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings ⋮ Wasserstein contraction and spectral gap of slice sampling revisited ⋮ Dimension‐independent Markov chain Monte Carlo on the sphere ⋮ Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance ⋮ Dimension-independent spectral gap of polar slice sampling ⋮ Mixing and concentration by Ricci curvature ⋮ Perturbation theory for Markov chains via Wasserstein distance ⋮ Comparison of hit-and-run, slice sampler and random walk Metropolis ⋮ Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions ⋮ Log-concavity and strong log-concavity: a review ⋮ Markov chain Monte Carlo estimation of quantiles ⋮ Quantitative spectral gap estimate and Wasserstein contraction of simple slice sampling ⋮ On a generalization of the preconditioned Crank-Nicolson metropolis algorithm ⋮ Metropolis-Hastings reversiblizations of non-reversible Markov chains ⋮ Generalized parallel tempering on Bayesian inverse problems ⋮ A weighted discrepancy bound of quasi-Monte Carlo importance sampling ⋮ Unnamed Item ⋮ Computation of Expectations by Markov Chain Monte Carlo Methods ⋮ Approximations of geometrically ergodic reversible markov chains ⋮ Error bounds of MCMC for functions with unbounded stationary variance

This page was built for publication: Explicit error bounds for Markov chain Monte Carlo