Some things we've learned (about Markov chain Monte Carlo)

DOI10.3150/12-BEJSP09zbMATH Open1412.60109arXiv1309.7754OpenAlexW2073769344MaRDI QIDQ373528FDOQ373528

Authors: Persi Diaconis 

Publication date: 17 October 2013

Published in: Bernoulli (Search for Journal in Brave)

Abstract: This paper offers a personal review of some things we've learned about rates of convergence of Markov chains to their stationary distributions. The main topic is ways of speeding up diffusive behavior. It also points to open problems and how much more there is to do.

Full work available at URL: https://arxiv.org/abs/1309.7754

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zbMATH Keywords

Markov chainsrates of convergencenonreversible chains

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Computational methods in Markov chains (60J22)

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Cited In (18)

• On the geometric ergodicity of Hamiltonian Monte Carlo
• Correction to: ``Speeding up Markov chains with deterministic jumps
• Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities
• Optimizing the asymptotic convergence rate of the Diaconis-Holmes-Neal sampler
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• Using Bernoulli maps to accelerate mixing of a random walk on the torus
• A multivariate statistical approach to predict COVID-19 count data with epidemiological interpretation and uncertainty quantification
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