Does Waste Recycling Really Improve the Multi-Proposal Metropolis–Hastings algorithm? an Analysis Based on Control Variates

DOI10.1239/JAP/1261670681zbMath1187.60056OpenAlexW2079804417MaRDI QIDQ3402050

Jean-François Delmas, Benjamin Jourdain

Publication date: 2 February 2010

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1261670681

zbMATH Keywords

central limit theoremvariance reductionergodic theoremMetropolis-Hastings algorithmcontrol variatesMonte Carlo Markov chainmulti-proposal algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (11)

On parallelizable Markov chain Monte Carlo algorithms with waste-recycling ⋮ Free energy reconstruction from steered dynamics without post-processing ⋮ Markov Chain Importance Sampling—A Highly Efficient Estimator for MCMC ⋮ On a Metropolis-Hastings importance sampling estimator ⋮ Conditional sequential Monte Carlo in high dimensions ⋮ Optimal scaling of MCMC beyond Metropolis ⋮ A Quantum Parallel Markov Chain Monte Carlo ⋮ A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms ⋮ Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo ⋮ Does waste-recycling really improve Metropolis-Hastings Monte Carlo algorithm? ⋮ Sampling and Statistical Physics via Symmetry

Cites Work

• Markov chains and stochastic stability
• Optimum Monte-Carlo sampling using Markov chains
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