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

DOI10.1016/j.aam.2006.05.003zbMath1156.60058MaRDI 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 Carlo; spectral gap; variational analysis

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C05: Monte Carlo methods

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

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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• The mathematics of eigenvalue optimization
• Laplacians and the Cheeger inequality for directed graphs
• Analysis of a nonreversible Markov chain sampler.
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• Optimizing matrix stability
• Lifting Markov chains to speed up mixing
• The Fastest Mixing Markov Process on a Graph and a Connection to a Maximum Variance Unfolding Problem
• Variational Analysis
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• 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