An Extension of the Metropolis Algorithm

DOI10.1081/STA-200052116zbMATH Open1065.60099MaRDI QIDQ4678836FDOQ4678836

Authors: Samuel S. Wu, Martin T. Wells 

Publication date: 23 May 2005

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Recommendations

• scientific article; zbMATH DE number 1263187
• What do we know about the Metropolis algorithm?
• Rates of convergence of the Hastings and Metropolis algorithms
• Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal
• Geometric ergodicity of Metropolis algorithms

zbMATH Keywords

Markov chain Monte Carlorate of convergencevariance reductionMetropolis algorithmaccelerationrisk domination

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) General considerations in statistical decision theory (62C05)

Cites Work

• Matrix Analysis
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• A note on Metropolis-Hastings kernels for general state spaces
• Rao-Blackwellisation of sampling schemes
• Geometric bounds for eigenvalues of Markov chains
• Comparison theorems for reversible Markov chains
• Ordering and improving the performance of Monte Carlo Markov chains.
• Optimum Monte-Carlo sampling using Markov chains
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• What do we know about the Metropolis algorithm?
• Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process
• Miscellanea. Peskun's theorem and a modified discrete-state Gibbs sampler
• SPECTRAL OPERATORS IN A DIRECT SUM OF HILBERT SPACES
• On the Rate of Convergence for Countable Markov Chains
• Nonlocal Monte Carlo algorithm for self-avoiding walks with fixed endpoints.
• Statistical inference and Monte Carlo algorithms. (With discussion)

Cited In (10)

• On characterizations of Metropolis type algorithms in continuous time
• Issues in the multiple try Metropolis mixing
• Cluster Monte Carlo: Extending the range
• Convergence rate of multiple-try Metropolis independent sampler
• Title not available (Why is that?)
• Metropolis Monte Carlo sampling: convergence, localization transition and optimality
• Numerical Results for the Metropolis Algorithm
• What do we know about the Metropolis algorithm?
• A Repelling–Attracting Metropolis Algorithm for Multimodality
• A multi-point Metropolis scheme with generic weight functions

This page was built for publication: An Extension of the Metropolis Algorithm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4678836)