Algorithms for improving efficiency of discrete Markov chains

DOI10.1007/S13226-017-0242-7MaRDI QIDQ1745667zbMATH OpenOpenAlexFDO

Authors Nabanita Mukherjee, George Casella, Kshitij Khare

Publication date 18 April 2018

Published in Indian Journal of Pure \& Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13226-017-0242-7

zbMATH Keywords

Markov chain Monte Carloasymptotic efficiencyMetropolis-Hastings algorithmPeskun ordering

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Recommendations

• Ordering and improving the performance of Monte Carlo Markov chains.
• Efficiency of finite state space Monte Carlo Markov chains
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Stationarity preserving and efficiency increasing probability mass transfers made possible
• Comparison of hit-and-run, slice sampler and random walk Metropolis

Cites work

• A geometric interpretation of the Metropolis-Hastings algorithm.
• A note on Metropolis-Hastings kernels for general state spaces
• Analysis of a nonreversible Markov chain sampler.
• Equation of state calculations by fast computing machines
• Finite Continuous Time Markov Chains
• Geometric allocation approach for the transition kernel of a Markov chain
• Mixing times of lozenge tiling and card shuffling Markov chains
• Monte Carlo sampling methods using Markov chains and their applications
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• Optimum Monte-Carlo sampling using Markov chains
• Ordering and improving the performance of Monte Carlo Markov chains.

Cited in

(8)

• An asymptotic Peskun ordering and its application to lifted samplers
• Stationarity preserving and efficiency increasing probability mass transfers made possible
• Ordering and improving the performance of Monte Carlo Markov chains.
• An efficient algorithm for counting Markov equivalent DAGs
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Efficiency of finite state space Monte Carlo Markov chains
• An extension of Peskun and Tierney orderings to continuous time Markov chains
• scientific article; zbMATH DE number 510828 (Why is no real title available?)

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