Micro-local analysis for the Metropolis algorithm

DOI10.1007/S00209-008-0383-9MaRDI QIDQ1024207zbMATH OpenOpenAlexFDO

Authors Persi Diaconis, Gilles Lebeau

Publication date 16 June 2009

Published in Mathematische Zeitschrift (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00209-008-0383-9

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• scientific article; zbMATH DE number 3969124 (Why is no real title available?)
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• Exact Analytical Solutions of the Transcendental Equation $\alpha \sin \zeta = \zeta $
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• Numerical Results for the Metropolis Algorithm
• Optimum Monte-Carlo sampling using Markov chains
• Rates of convergence of the Hastings and Metropolis algorithms
• Semi-classical analysis of a random walk on a manifold
• What do we know about the Metropolis algorithm?

Cited in

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• Another conversation with Persi Diaconis
• The mathematics of mixing things up
• Geometric analysis for the Metropolis algorithm on Lipschitz domains
• Random walk on surfaces with hyperbolic cusps
• scientific article; zbMATH DE number 431548 (Why is no real title available?)
• Metropolis
• Singular relaxation of a random walk in a box with a Metropolis Monte Carlo dynamics
• Gibbs/Metropolis algorithms on a convex polytope
• Semi-classical analysis of a random walk on a manifold
• Spectral asymptotics for the Metropolis algorithm on singular domains
• Metropolis Monte Carlo sampling: convergence, localization transition and optimality
• Sparse locally-jammed disk packings
• Spectral gaps and error estimates for infinite-dimensional Metropolis-Hastings with non-Gaussian priors
• The Markov chain Monte Carlo revolution

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