On characterizations of Metropolis type algorithms in continuous time

zbMATH Open1188.60041MaRDI QIDQ3397641FDOQ3397641

Authors: Persi Diaconis, Laurent Miclo 

Publication date: 22 September 2009

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zbMATH Keywords

martingale problemsMetropolis algorithms\(\varphi\)-relative entropiescompact manifold-valued diffusion processesdiscrepancies on sets of Markov generatorsfinite jump Markov processesgeneral Girsanov transformationsrelative entropy minimizations

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Measures of information, entropy (94A17) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes and stochastic analysis on manifolds (58J65) Continuous-time Markov processes on discrete state spaces (60J27) Multiplicative functionals and Markov processes (60J57)

Cited In (8)

• On hitting time, mixing time and geometric interpretations of Metropolis-Hastings reversiblizations
• Title not available (Why is that?)
• On the hypergroup property
• Title not available (Why is that?)
• Nonequilibrium Markov processes conditioned on large deviations
• Two refreshing views of fluctuation theorems through kinematics elements and exponential martingale
• Title not available (Why is that?)
• A geometric interpretation of the Metropolis-Hastings algorithm.

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