On the rate of convergence of the Metropolis algorithm and Gibbs sampler by geometric bounds

DOI10.1214/AOAP/1177005064MaRDI QIDQ1333379zbMATH OpenOpenAlexFDO

Authors Salvatore Ingrassia

Publication date 12 December 1994

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1177005064

zbMATH Keywords

Gibbs samplerMetropolis algorithmboundsspectral gaptransition probability matrixrandom updating dynamicsrate of convergence at low temperatures

Mathematics Subject Classification ID

Inequalities involving eigenvalues and eigenvectors (15A42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50)

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• Multidimensional examples of the Metropolis algorithm
• About relaxation time of finite generalized Metropolis algorithms
• Gibbs/Metropolis algorithms on a convex polytope
• Mixing times of a Burnside process Markov chain on set partitions
• Improved bounds for the large-time behaviour of simulated annealing
• Explicit convergence bounds for Metropolis Markov chains: isoperimetry, spectral gaps and profiles
• Outperforming the Gibbs sampler empirical estimator for nearest-neighbor random fields
• Markov chain decomposition for convergence rate analysis
• Exact bound for the convergence of metropolis chains
• Constructing optimal transition matrix for Markov chain Monte Carlo
• Spectral gap and cutoff phenomenon for the Gibbs sampler of interfaces with convex potential
• Spectral asymptotics for the Metropolis algorithm on singular domains
• scientific article; zbMATH DE number 472933 (Why is no real title available?)
• On the rate of convergence of the Gibbs sampler for the 1-D Ising model by geometric bound
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• The convergence rate of the Gibbs sampler for generalized 1-D Ising model
• Markov-chain monte carlo: Some practical implications of theoretical results
• A gentle stochastic thermostat for molecular dynamics
• Spectral bounds for certain two-factor non-reversible MCMC algorithms
• Applications of geometric bounds to the convergence rate of Markov chains on \(\mathbb R^ {n}\).
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• What do we know about the Metropolis algorithm?
• scientific article; zbMATH DE number 7249109 (Why is no real title available?)
• Spectral gaps of random walk Metropolis chains
• Coupling, spectral gap and related topics. II
• The smallest eigenvalue for reversible Markov chains

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