Over-relaxation methods and coupled Markov chains for Monte Carlo simulation

DOI10.1023/A:1013112103963zbMATH Open1247.62134OpenAlexW1545617076WikidataQ61719221 ScholiaQ61719221MaRDI QIDQ451225FDOQ451225

Authors: Piero Barone, Giovanni Sebastiani, Julian Stander 

Publication date: 23 September 2012

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

Full work available at URL: https://doi.org/10.1023/a:1013112103963

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zbMATH Keywords

Gibbs samplerspectral radiuscoupled algorithms

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical analysis or methods applied to Markov chains (65C40)

Cited In (6)

• The successive over relaxation method (SOR) and Markov chains
• Coupling control variates for Markov chain Monte Carlo
• Improving Stochastic Relaxation for Gussian Random Fields
• Extended ensemble Monte Carlo approach to hardly relaxing problems
• Using Genetic Operators to Speed up Markov Chain Monte Carlo Integration
• General over-relaxation Markov chain Monte Carlo algorithms for Gaussian densities

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