Improving Stochastic Relaxation for Gussian Random Fields

DOI10.1017/S0269964800001674MaRDI QIDQ3415978zbMATH OpenFDO

Authors Piero Barone, Arnoldo Frigessi

Publication date 19 January 2007

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0269964800001674

Mathematics Subject Classification ID

Random fields (60G60)

Recommendations

• Comparing sweep strategies for stochastic relaxation
• Over-relaxation methods and coupled Markov chains for Monte Carlo simulation
• Rate of convergence of the Gibbs sampler in the Gaussian case
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• Special algorithms for the simulation of homogeneous random fields

Cites work

• A New Approach to the Limit Theory of Recurrent Markov Chains
• Generalised consistent ordering and the optimum successive overrelaxation factor
• scientific article; zbMATH DE number 3658896 (Why is no real title available?)
• scientific article; zbMATH DE number 3296351 (Why is no real title available?)
• On the accelerated iterative method for estimating the optimum overrelaxation parameter

Cited in

(18)

• Rates of convergence of some multivariate Markov chains with polynomial eigenfunctions
• Comparing sweep strategies for stochastic relaxation
• On rates of convergence of stochastic relaxation for Gaussian and non- Gaussian distributions
• Slice sampling. (With discussions and rejoinder)
• Designing simple and efficient Markov chain Monte Carlo proposal kernels
• Convex relaxation for IMSE optimal design in random-field models
• Coordinate selection rules for Gibbs sampling
• Antithetic coupling of two Gibbs sampler chains.
• Convergence properties of the Gibbs sampler for perturbations of Gaussians
• Variance reduction for Metropolis-Hastings samplers
• Optimization of the antithetic Gibbs sampler for Gaussian Markov random fields
• On the performance of the gibbs sampler for the multivariate normal distribution
• High-dimensional Gaussian sampling: a review and a unifying approach based on a stochastic proximal point algorithm
• General over-relaxation Markov chain Monte Carlo algorithms for Gaussian densities
• Asymptotic behavior of eigenvalues and random updating schemes
• Simulating large Gaussian random vectors subject to inequality constraints by Gibbs sampling
• Zero variance differential geometric Markov chain Monte Carlo algorithms
• Zero variance Markov chain Monte Carlo for Bayesian estimators

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