Polynomial accelerated MCMC and other sampling algorithms inspired by computational optimization

DOI10.1007/978-3-642-41095-6_15MaRDI QIDQ2926223zbMATH OpenOpenAlexFDO

Authors Colin Fox

Publication date 31 October 2014

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-41095-6_15

zbMATH Keywords

Chebyshev accelerationconjugate gradient methodGibbs samplingiterative methodMarkov chain Monte Carlo algorithmmatrix splitting

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

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Cited in

(2)

• Sampling from the complement of a polyhedron: an MCMC algorithm for data augmentation
• Convergence in variance of Chebyshev accelerated Gibbs samplers

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