Numerical Results for the Metropolis Algorithm

DOI10.1080/10586458.2004.10504534zbMath1058.65010OpenAlexW2001921562MaRDI QIDQ4828772

Persi Diaconis, John W. Neuberger

Publication date: 26 November 2004

Published in: Experimental Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.em/1090350935

zbMATH Keywords

numerical exampleseigenvaluesspectrumrandom walkMetropolis algorithmlarge-scale scientific computingcomputational Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Symbolic computation and algebraic computation (68W30) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (4)

Singular relaxation of a random walk in a box with a Metropolis Monte Carlo dynamics ⋮ The mathematics of mixing things up ⋮ The Markov chain Monte Carlo revolution ⋮ Micro-local analysis for the Metropolis algorithm

Cites Work

• What do we know about the Metropolis algorithm?
• Applications of geometric bounds to the convergence rate of Markov chains on \(\mathbb R^ {n}\).
• Markov chains for exploring posterior distributions. (With discussion)
• Rates of convergence of the Hastings and Metropolis algorithms
• SNOWFLAKE HARMONICS AND COMPUTER GRAPHICS: NUMERICAL COMPUTATION OF SPECTRA ON FRACTAL DRUMS
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