Irreversible Monte Carlo algorithms for efficient sampling

DOI10.1016/j.physd.2010.10.003zbMath1216.82022arXiv0809.0916OpenAlexW1810379097MaRDI QIDQ629029

Marija Vucelja, Konstantin S. Turitsyn, Michael Chertkov

Publication date: 8 March 2011

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.0916

zbMATH Keywords

Monte Carlo methodsmixingMarkov Chain Monte Carlo algorithm

Mathematics Subject Classification ID

Related Items (26)

Direction-sweep Markov chains ⋮ Variance reduction using nonreversible Langevin samplers ⋮ Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains ⋮ Improving the convergence of reversible samplers ⋮ Complexity of zigzag sampling algorithm for strongly log-concave distributions ⋮ Non-reversible Metropolis-Hastings ⋮ Numerical studies for an ab initio investigation into the Boltzmann prescription in statistical mechanics of large systems ⋮ Geometric ergodicity of the bouncy particle sampler ⋮ Non-reversible guided Metropolis kernel ⋮ Improved estimation of relaxation time in nonreversible Markov chains ⋮ Speed up Zig-Zag ⋮ Reducing rejection exponentially improves Markov chain Monte Carlo sampling ⋮ Structure preserving schemes for Fokker-Planck equations of irreversible processes ⋮ PDMP characterisation of event-chain Monte Carlo algorithms for particle systems ⋮ On the convergence time of some non-reversible Markov chain Monte Carlo methods ⋮ Dynamics of the two-dimensional directed Ising model in the paramagnetic phase ⋮ Large deviations for the skew-detailed-balance lifted-Markov processes to sample the equilibrium distribution of the Curie–Weiss model ⋮ Kinetic walks for sampling ⋮ Non-reversible Monte Carlo simulations of spin models ⋮ Monte Carlo methods beyond detailed balance ⋮ Characterizing limits and opportunities in speeding up Markov chain mixing ⋮ Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario ⋮ Irreversible samplers from jump and continuous Markov processes ⋮ Ergodicity of the zigzag process ⋮ Approximations of piecewise deterministic Markov processes and their convergence properties ⋮ A note on the polynomial ergodicity of the one-dimensional Zig-Zag process

Cites Work

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• Optimization by Simulated Annealing
• Lifting Markov chains to speed up mixing
• Equation of State Calculations by Fast Computing Machines
• Cycle Representations of Markov Processes
• Monte Carlo sampling methods using Markov chains and their applications
• The Monte Carlo Method

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