Non-reversible Metropolis-Hastings

DOI10.1007/s11222-015-9598-xzbMath1360.65040arXiv1401.8087OpenAlexW3103728018WikidataQ59474056 ScholiaQ59474056MaRDI QIDQ341139

Joris Bierkens

Publication date: 16 November 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.8087

zbMATH Keywords

algorithmlarge deviationasymptotic varianceBayesian inferenceMarkov Chain Monte CarloMetropolis-HastingsLangevin samplingempirical autocorrelation functionnon-reversible Markov processes

Mathematics Subject Classification ID

Related Items (35)

Fast mixing of a randomized shift-register Markov chain ⋮ On explicit \(L^2\)-convergence rate estimate for piecewise deterministic Markov processes in MCMC algorithms ⋮ Piecewise deterministic Markov processes for continuous-time Monte Carlo ⋮ Variance reduction using nonreversible Langevin samplers ⋮ Statistical challenges in tracking the evolution of SARS-CoV-2 ⋮ On the asymptotic variance of reversible Markov chain without cycles ⋮ Improving the convergence of reversible samplers ⋮ Markov chain Monte Carlo and irreversibility ⋮ On multiple acceleration of reversible Markov chain ⋮ Gibbsian stationary non-equilibrium states ⋮ Acceleration of convergence to equilibrium in Markov chains by breaking detailed balance ⋮ Optimal Variance Reduction for Markov Chain Monte Carlo ⋮ On hitting time, mixing time and geometric interpretations of Metropolis-Hastings reversiblizations ⋮ Optimization via rejection-free partial neighbor search ⋮ Non-reversible guided Metropolis kernel ⋮ A large deviation principle for the empirical measures of Metropolis-Hastings chains ⋮ Unnamed Item ⋮ Improved estimation of relaxation time in nonreversible Markov chains ⋮ Speed up Zig-Zag ⋮ Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets ⋮ Variational principles for asymptotic variance of general Markov processes ⋮ Low-lying eigenvalues and convergence to the equilibrium of some piecewise deterministic Markov processes generators in the small temperature regime ⋮ On the convergence time of some non-reversible Markov chain Monte Carlo methods ⋮ On some mixing times for nonreversible finite Markov chains ⋮ Characterizing limits and opportunities in speeding up Markov chain mixing ⋮ Variational principles of hitting times for non-reversible Markov chains ⋮ Metropolis-Hastings reversiblizations of non-reversible Markov chains ⋮ Ensemble Transport Adaptive Importance Sampling ⋮ Analysis of non-reversible Markov chains via similarity orbits ⋮ Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics ⋮ Irreversible samplers from jump and continuous Markov processes ⋮ Exact MCMC with differentially private moves. Exact MCMC with differentially private moves, revisiting the penalty algorithm in a data privacy framework ⋮ Ergodicity of the zigzag process ⋮ Variational formulas for asymptotic variance of general discrete-time Markov chains ⋮ Sampling and Statistical Physics via Symmetry

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal non-reversible linear drift for the convergence to equilibrium of a diffusion
• Irreversible Monte Carlo algorithms for efficient sampling
• General state space Markov chains and MCMC algorithms
• What do we know about the Metropolis algorithm?
• Accelerating Gaussian diffusions
• Exponential convergence of Langevin distributions and their discrete approximations
• Analysis of a nonreversible Markov chain sampler.
• Accelerating reversible Markov chains
• Lifting Markov chains to speed up mixing
• Irreversible Langevin samplers and variance reduction: a large deviations approach
• The Markov chain Monte Carlo revolution
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications
• Large deviations

This page was built for publication: Non-reversible Metropolis-Hastings