Optimizing the asymptotic convergence rate of the Diaconis-Holmes-Neal sampler

DOI10.1016/j.aam.2006.05.003zbMath1156.60058OpenAlexW2064504176MaRDI QIDQ2455515

Kranthi K. Gade, Michael L. Overton

Publication date: 24 October 2007

Published in: Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aam.2006.05.003

zbMATH Keywords

Markov chain Monte Carlospectral gapvariational analysis

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)

Related Items

Some things we've learned (about Markov chain Monte Carlo), Variational analysis of the spectral abscissa at a matrix with a nongeneric multiple eigenvalue, On the spectral analysis of second-order Markov chains

Uses Software

• SeDuMi
• GradSamp

Cites Work

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• Variational Analysis
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• Fastest Mixing Markov Chain on a Graph
• Stabilization via Nonsmooth, Nonconvex Optimization
• A Robust Gradient Sampling Algorithm for Nonsmooth, Nonconvex Optimization
• Fastest Mixing Markov Chain on a Path
• Symmetry Analysis of Reversible Markov Chains
• Variational analysis of non-Lipschitz spectral functions