Curvature, concentration and error estimates for Markov chain Monte Carlo (Q606638)

From MaRDI portal
Revision as of 09:33, 30 July 2024 by Openalex240730090724 (talk | contribs) (Set OpenAlex properties.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Curvature, concentration and error estimates for Markov chain Monte Carlo
scientific article

    Statements

    Curvature, concentration and error estimates for Markov chain Monte Carlo (English)
    0 references
    0 references
    0 references
    18 November 2010
    0 references
    This interesting work contains the explicit nonasymptotic estimates for the convergence rate of Markov chains empirical means, together with a Gaussian or exponential control on the empirical means deviations. The main assumption can be seen geometrically as a ``positive Ricci curvature'' property of the Markov chain. The authors use this in the form of constraint on the Wasserstein distance between two probability measures from the associated transition kernel: \(W_1(P_x,P_y)\leq (1-k)d(x,y)\), where \(k>0\) and \(x, y\) belong to a Polish state space with metric \(d\). There are many situations which satisfy this assumption. The authors concretize the following: a heat bath for the Ising model; the \(M/M/\infty\) queueing process; Euler scheme for diffusions; the diffusions on positively curved manifolds; and a certain nonlinear state space model.
    0 references
    Markov chain Monte Carlo method
    0 references
    concentration of measure
    0 references
    Ricci curvature
    0 references
    Wasserstein distance
    0 references
    explicit nonasymptotic
    0 references
    convergence
    0 references
    Ising model
    0 references
    \(M/M/\infty\) queueing process
    0 references
    Euler scheme for diffusions
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references