Optimal variance reduction for Markov chain Monte Carlo
From MaRDI portal
Publication:4581261
Recommendations
- Constructing optimal transition matrix for Markov chain Monte Carlo
- On the optimal transition matrix for Markov chain Monte Carlo sampling
- Variance reduction for Markov chains with application to MCMC
- On the asymptotic variance of reversible Markov chain without cycles
- Variance reduction for diffusions
Cites work
- scientific article; zbMATH DE number 3680816 (Why is no real title available?)
- scientific article; zbMATH DE number 472933 (Why is no real title available?)
- A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model
- Accelerating Brownian motion on N-torus
- Accelerating Gaussian diffusions
- Accelerating diffusions
- Accelerating reversible Markov chains
- Acceleration of convergence to equilibrium in Markov chains by breaking detailed balance
- Analysis of a nonreversible Markov chain sampler.
- Attaining the optimal Gaussian diffusion acceleration
- Constructing optimal transition matrix for Markov chain Monte Carlo
- Equation of state calculations by fast computing machines
- Geometric bounds for eigenvalues of Markov chains
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Geometric ergodicity and hybrid Markov chains
- Improving the convergence of reversible samplers
- Irreversible Langevin samplers and variance reduction: a large deviations approach
- Markov chain Monte Carlo and irreversibility
- Markov chain decomposition for convergence rate analysis
- Markov chains and mixing times. With a chapter on ``Coupling from the past by James G. Propp and David B. Wilson.
- Monte Carlo sampling methods using Markov chains and their applications
- Non-reversible Metropolis-Hastings
- On how to use drift to push the spectral gap of a diffusion on \(S^{2}\) to infinity
- On some mixing times for nonreversible finite Markov chains
- On the infinite swapping limit for parallel tempering
- On the optimal transition matrix for Markov chain Monte Carlo sampling
- Optimal non-reversible linear drift for the convergence to equilibrium of a diffusion
- Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
- Optimum Monte-Carlo sampling using Markov chains
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- The Markov chain Monte Carlo revolution
- Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
- Variance reduction for diffusions
- Variance reduction for irreversible Langevin samplers and diffusion on graphs
Cited in
(13)- On the optimal transition matrix for Markov chain Monte Carlo sampling
- Stationarity preserving and efficiency increasing probability mass transfers made possible
- Variance reduction for Markov chains with application to MCMC
- Sampling and Statistical Physics via Symmetry
- Variance reduction for diffusions
- On the asymptotic variance of reversible Markov chain without cycles
- Constructing optimal transition matrix for Markov chain Monte Carlo
- On multiple acceleration of reversible Markov chain
- scientific article; zbMATH DE number 5230455 (Why is no real title available?)
- Comparison of asymptotic variances of inhomogeneous Markov chains with application to Markov chain Monte Carlo methods
- Variance reduction through smoothing and control variates for Markov chain simulations
- scientific article; zbMATH DE number 3890692 (Why is no real title available?)
- Variance reduction for Metropolis-Hastings samplers
This page was built for publication: Optimal variance reduction for Markov chain Monte Carlo
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4581261)
