Numerical Results for the Metropolis Algorithm

DOI10.1080/10586458.2004.10504534MaRDI QIDQ4828772zbMATH OpenOpenAlexFDO

Authors Persi Diaconis, J. W. Neuberger

Publication date 26 November 2004

Published in Experimental Mathematics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.em/1090350935, https://eudml.org/doc/51199

zbMATH Keywords

computational Markov chaineigenvalueslarge-scale scientific computingMetropolis algorithmnumerical examplesrandom walkspectrum

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Symbolic computation and algebraic computation (68W30)

Recommendations

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Cites work

• Applications of geometric bounds to the convergence rate of Markov chains on \(\mathbb R^ {n}\).
• scientific article; zbMATH DE number 4021970 (Why is no real title available?)
• scientific article; zbMATH DE number 3408799 (Why is no real title available?)
• Markov chains for exploring posterior distributions. (With discussion)
• Rates of convergence of the Hastings and Metropolis algorithms
• SNOWFLAKE HARMONICS AND COMPUTER GRAPHICS: NUMERICAL COMPUTATION OF SPECTRA ON FRACTAL DRUMS
• What do we know about the Metropolis algorithm?

Cited in

(5)

• Micro-local analysis for the Metropolis algorithm
• The spectrum of the independent Metropolis-Hastings algorithm
• The Markov chain Monte Carlo revolution
• Singular relaxation of a random walk in a box with a Metropolis Monte Carlo dynamics
• The mathematics of mixing things up

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