Numerical Results for the Metropolis Algorithm

DOI10.1080/10586458.2004.10504534MaRDI QIDQ4828772zbMATH OpenOpenAlexFDO

Authors Persi Diaconis, J. 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, https://eudml.org/doc/51199

zbMATH Keywords

random walkeigenvaluesnumerical examplesMetropolis algorithmspectrumlarge-scale scientific computingcomputational Markov chain

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• scientific article; zbMATH DE number 4021970 (Why is no real title available?)
• scientific article; zbMATH DE number 3408799 (Why is no real title available?)
• 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
• What do we know about the Metropolis algorithm?

Cited in

(5)

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

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