Does Waste Recycling Really Improve the Multi-Proposal Metropolis–Hastings algorithm? an Analysis Based on Control Variates
From MaRDI portal
Publication:3402050
DOI10.1239/jap/1261670681zbMath1187.60056MaRDI QIDQ3402050
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
central limit theorem; variance reduction; ergodic theorem; Metropolis-Hastings algorithm; control variates; Monte Carlo Markov chain; multi-proposal algorithm
60J22: Computational methods in Markov chains
60F05: Central limit and other weak theorems
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
65C40: Numerical analysis or methods applied to Markov chains
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