Does waste recycling really improve the multi-proposal Metropolis-Hastings algorithm? An analysis based on control variates

DOI10.1239/JAP/1261670681MaRDI QIDQ3402050zbMATH OpenOpenAlexFDO

Authors Jean-François Delmas, Benjamin Jourdain

Publication date 2 February 2010

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1261670681

zbMATH Keywords

central limit theoremcontrol variatesergodic theoremMetropolis-Hastings algorithmMonte Carlo Markov chainmulti-proposal algorithmvariance reduction

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

Recommendations

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Cites work

• Geometric variance reduction in Markov chains: application to value function and gradient estimation
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• scientific article; zbMATH DE number 976356 (Why is no real title available?)
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• Markov chains and stochastic stability
• Optimum Monte-Carlo sampling using Markov chains

Cited in

(12)

• On parallelizable Markov chain Monte Carlo algorithms with waste-recycling
• Recycling intermediate steps to improve Hamiltonian Monte Carlo
• On a Metropolis-Hastings importance sampling estimator
• A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms
• Free energy reconstruction from steered dynamics without post-processing
• Sampling and Statistical Physics via Symmetry
• Markov Chain Importance Sampling—A Highly Efficient Estimator for MCMC
• Conditional sequential Monte Carlo in high dimensions
• Optimal scaling of MCMC beyond Metropolis
• A Quantum Parallel Markov Chain Monte Carlo
• Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo
• Does waste-recycling really improve Metropolis-Hastings Monte Carlo algorithm?

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