Comparison of hit-and-run, slice sampler and random walk Metropolis
From MaRDI portal
(Redirected from Publication:4611278)
Abstract: Different Markov chains can be used for approximate sampling of a distribution given by an unnormalized density function with respect to the Lebesgue measure. The hit-and-run, (hybrid) slice sampler and random walk Metropolis algorithm are popular tools to simulate such Markov chains. We develop a general approach to compare the efficiency of these sampling procedures by the use of a partial ordering of their Markov operators, the covariance ordering. In particular, we show that the hit-and-run and the simple slice sampler are more efficient than a hybrid slice sampler based on hit-and-run which, itself, is more efficient than a (lazy) random walk Metropolis algorithm.
Recommendations
Cites work
- A note on Metropolis-Hastings kernels for general state spaces
- An analysis of a variation of hit-and-run for uniform sampling from general regions
- Auxiliary Variable Methods for Markov Chain Monte Carlo with Applications
- Comparison inequalities and fastest-mixing Markov chains
- Convergence of Slice Sampler Markov Chains
- Covariance ordering for discrete and continuous time Markov chains
- Direction choice for accelerated convergence in hit-and-run sampling
- Efficiency and Convergence Properties of Slice Samplers
- Efficient Monte Carlo Procedures for Generating Points Uniformly Distributed over Bounded Regions
- Eigenvalues, Inequalities, and Ergodic Theory
- Establishing some order amongst exact approximations of MCMCs
- Explicit error bounds for Markov chain Monte Carlo
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
- Geometric ergodicity of Metropolis algorithms
- Handbook of Markov Chain Monte Carlo
- Hit and run as a unifying device
- Hit-and-Run Algorithms for Generating Multivariate Distributions
- Hit-and-run for numerical integration
- Hit-and-Run from a Corner
- Hit-and-run mixes fast
- scientific article; zbMATH DE number 45410 (Why is no real title available?)
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- Optimal scaling for various Metropolis-Hastings algorithms.
- Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
- Optimum Monte-Carlo sampling using Markov chains
- Ordering and improving the performance of Monte Carlo Markov chains.
- Perfect slice samplers
- Positivity of hit-and-run and related algorithms
- Rapid mixing of Swendsen-Wang dynamics in two dimensions
- Rates of convergence of the Hastings and Metropolis algorithms
- Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
- Simple Monte Carlo and the Metropolis algorithm
- Slice sampling. (With discussions and rejoinder)
- The geometry of logconcave functions and sampling algorithms
- The polar slice sampler
- Weak convergence and optimal scaling of random walk Metropolis algorithms
Cited in
(12)- Algorithms for improving efficiency of discrete Markov chains
- A Metropolis-class sampler for targets with non-convex support
- Hit and run as a unifying device
- Quantitative spectral gap estimate and Wasserstein contraction of simple slice sampling
- The polar slice sampler
- Establishing some order amongst exact approximations of MCMCs
- An asymptotic Peskun ordering and its application to lifted samplers
- Accelerated convergence in Hit-and-Run Monte Carlo and a coordinate-free randomized Kaczmarz algorithm
- Convergence of hybrid slice sampling via spectral gap
- Geodesic slice sampling on Riemannian manifolds
- GIST: Gibbs self-tuning for locally adaptive Hamiltonian Monte Carlo
- Positivity of hit-and-run and related algorithms
This page was built for publication: Comparison of hit-and-run, slice sampler and random walk Metropolis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4611278)
