Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario

DOI10.1214/20-AOS2008zbMath1489.65005arXiv1906.06197MaRDI QIDQ2054471

Christophe Andrieu, Samuel Livingstone

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.06197

zbMATH Keywords

Markov chain Monte CarloPeskun orderingpiecewise deterministic Markov processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Nonreversible Jump Algorithms for Bayesian Nested Model Selection, Forward Event-Chain Monte Carlo: Fast Sampling by Randomness Control in Irreversible Markov Chains, Adaptive schemes for piecewise deterministic Monte Carlo algorithms, Infinite dimensional piecewise deterministic Markov processes, Non-reversible guided Metropolis kernel, Hypocoercivity of piecewise deterministic Markov process-Monte Carlo, A piecewise deterministic Monte Carlo method for diffusion bridges, Large deviations for the empirical measure of the zig-zag process, Automatic zig-zag sampling in practice, Sticky PDMP samplers for sparse and local inference problems, Variational formulas for asymptotic variance of general discrete-time Markov chains, Non-reversible processes: GENERIC, hypocoercivity and fluctuations

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