Curvature, concentration and error estimates for Markov chain Monte Carlo

DOI10.1214/10-AOP541zbMath1207.65006arXiv0904.1312MaRDI QIDQ606638

Aldéric Joulin, Yann Ollivier

Publication date: 18 November 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.1312

zbMATH Keywords

convergence; Markov chain Monte Carlo method; Ricci curvature; Ising model; concentration of measure; Wasserstein distance; \(M/M/\infty\) queueing process; Euler scheme for diffusions; explicit nonasymptotic

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C05: Monte Carlo methods

60K25: Queueing theory (aspects of probability theory)

65C40: Numerical analysis or methods applied to Markov chains

60J60: Diffusion processes

62E17: Approximations to statistical distributions (nonasymptotic)

65C30: Numerical solutions to stochastic differential and integral equations

82C44: Dynamics of disordered systems (random Ising systems, etc.) in time-dependent statistical mechanics

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Exact and asymptotic results on coarse Ricci curvature of graphs, Convergence rate and concentration inequalities for Gibbs sampling in high dimension, Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions, The mathematics of mixing things up, Sampling the Fermi statistics and other conditional product measures, Nonasymptotic bounds on the estimation error of MCMC algorithms, On the mean speed of convergence of empirical and occupation measures in Wasserstein distance, Hit-and-Run for Numerical Integration

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