Markov Kernels Local Aggregation for Noise Vanishing Distribution Sampling

DOI10.1137/22M1469626MaRDI QIDQ5885821zbMATH OpenOpenAlexFDO

Authors Florian Maire, P. Vandekerkhove

Publication date 30 March 2023

Published in SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.09000

zbMATH Keywords

filamentary distributionlocal explorationnonasymptotic convergence improvementsparse Bayesian learning

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05)

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Cites work

• A martingale proof of Dobrushin's theorem for non-homogeneous Markov chains
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• Smoothness of Metropolis-Hastings algorithm and application to entropy estimation
• Summary statistics and discrepancy measures for approximate Bayesian computation via surrogate posteriors
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Two convergence properties of hybrid samplers

Cited in

(2)

• Localized sampling in the presence of noise
• Entropy-based burn-in time analysis and ranking for (A)MCMC algorithms in high dimension

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