Numerical Integration using Markov Chains

DOI10.1515/MCMA.1999.5.4.325MaRDI QIDQ4937409zbMATH OpenOpenAlexFDO

Authors Peter Mathé

Publication date 10 July 2000

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.1999.5.4.325

zbMATH Keywords

convergencenumerical examplesnumerical integrationreversible Markov chainsMetropolis samplers

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Numerical quadrature and cubature formulas (65D32)

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Cited in

(6)

• Error bounds for computing the expectation by Markov chain Monte Carlo
• Numerical integration using V-uniformly ergodic Markov chains
• Numerical Methods in Markov Chain Modeling
• Explicit error bounds for lazy reversible Markov chain Monte Carlo
• Optimal convergence rates of MCMC integration for functions with unbounded second moment
• Simple Monte Carlo and the Metropolis algorithm

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