On multiple acceleration of reversible Markov chain

DOI10.1016/J.SPL.2022.109559zbMath1498.60306OpenAlexW4282932597MaRDI QIDQ2170228

Ting-Li Chen, Chen-Wei Hua

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

rate of convergenceMarkov chain Monte Carloasymptotic variancereversibilityantisymmetric 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)

Cites Work

• Non-reversible Metropolis-Hastings
• Accelerating diffusions
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• Accelerating Gaussian diffusions
• On the asymptotic variance of reversible Markov chain without cycles
• Analysis of a nonreversible Markov chain sampler.
• A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model
• Accelerating reversible Markov chains
• Optimum Monte-Carlo sampling using Markov chains
• Optimal Variance Reduction for Markov Chain Monte Carlo
• On the Optimal Transition Matrix for Markov Chain Monte Carlo Sampling
• Unnamed Item

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