An Extension of the Metropolis Algorithm

DOI10.1081/STA-200052116MaRDI QIDQ4678836zbMATH OpenFDO

Authors Samuel S. Wu, Martin T. Wells

Publication date 23 May 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-200052116

zbMATH Keywords

accelerationMarkov chain Monte CarloMetropolis algorithmrate of convergencerisk dominationvariance reduction

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Computational methods in Markov chains (60J22) General considerations in statistical decision theory (62C05) Monte Carlo methods (65C05)

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Cites work

• A note on Metropolis-Hastings kernels for general state spaces
• Comparison theorems for reversible Markov chains
• Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process
• Geometric bounds for eigenvalues of Markov chains
• Markov chains for exploring posterior distributions. (With discussion)
• Matrix Analysis
• Miscellanea. Peskun's theorem and a modified discrete-state Gibbs sampler
• Monte Carlo sampling methods using Markov chains and their applications
• Nonlocal Monte Carlo algorithm for self-avoiding walks with fixed endpoints.
• On the Rate of Convergence for Countable Markov Chains
• 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.
• Rao-Blackwellisation of sampling schemes
• SPECTRAL OPERATORS IN A DIRECT SUM OF HILBERT SPACES
• Statistical inference and Monte Carlo algorithms. (With discussion)
• What do we know about the Metropolis algorithm?

Cited in

(10)

• What do we know about the Metropolis algorithm?
• A Repelling–Attracting Metropolis Algorithm for Multimodality
• Issues in the multiple try Metropolis mixing
• On characterizations of Metropolis type algorithms in continuous time
• scientific article; zbMATH DE number 3909610 (Why is no real title available?)
• A multi-point Metropolis scheme with generic weight functions
• Numerical Results for the Metropolis Algorithm
• Convergence rate of multiple-try Metropolis independent sampler
• Metropolis Monte Carlo sampling: convergence, localization transition and optimality
• Cluster Monte Carlo: Extending the range

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