On multiple acceleration of reversible Markov chain

DOI10.1016/J.SPL.2022.109559MaRDI QIDQ2170228zbMATH OpenOpenAlexFDO

Authors Chen-Wei Hua, Ting-Li Chen

Publication date 30 August 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2022.109559

zbMATH Keywords

Markov chain Monte Carlorate of convergencereversibilityasymptotic varianceantisymmetric perturbationmultiple acceleration

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Recommendations

• Accelerating reversible Markov chains
• Improving the convergence of reversible samplers
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• On the convergence time of some non-reversible Markov chain Monte Carlo methods
• Analysis of a nonreversible Markov chain sampler.

Cites work

• scientific article; zbMATH DE number 3680816 (Why is no real title available?)
• A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model
• Accelerating Gaussian diffusions
• Accelerating diffusions
• Accelerating reversible Markov chains
• Analysis of a nonreversible Markov chain sampler.
• Non-reversible Metropolis-Hastings
• On the asymptotic variance of reversible Markov chain without cycles
• On the optimal transition matrix for Markov chain Monte Carlo sampling
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• Optimal variance reduction for Markov chain Monte Carlo
• Optimum Monte-Carlo sampling using Markov chains

Cited in

(4)

• Accelerating reversible Markov chains
• Analysis of a non-reversible Markov chain speedup by a single edge
• On the asymptotic variance of reversible Markov chain without cycles
• scientific article; zbMATH DE number 4203403 (Why is no real title available?)

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