An asymptotic Peskun ordering and its application to lifted samplers

DOI10.3150/23-BEJ1674MaRDI QIDQ6565323FDOQ6565323

Authors: Philippe Gagnon, Florian Maire 

Publication date: 2 July 2024

Published in: Bernoulli (Search for Journal in Brave)

Recommendations

• An extension of Peskun and Tierney orderings to continuous time Markov chains
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Algorithms for improving efficiency of discrete Markov chains
• Ordering and improving the performance of Monte Carlo Markov chains.
• Comparison of hit-and-run, slice sampler and random walk Metropolis

zbMATH Keywords

variable selectionBayesian statisticsMarkov chain Monte Carlo methodsIsing modelbinary random variables

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Asymptotic Statistics
• Analysis of a nonreversible Markov chain sampler.
• Monte Carlo sampling methods using Markov chains and their applications
• A note on Metropolis-Hastings kernels for general state spaces
• Equation of state calculations by fast computing machines
• The Bernstein-von Mises theorem under misspecification
• Optimum Monte-Carlo sampling using Markov chains
• Non-reversible Metropolis-Hastings
• Uniform ergodicity of the iterated conditional SMC and geometric ergodicity of particle Gibbs samplers
• Lifting Markov chains to speed up mixing
• Non-reversible guided Metropolis kernel
• Approximate spectral gaps for Markov chain mixing times in high dimensions
• The Barker Proposal: Combining Robustness and Efficiency in Gradient-Based MCMC
• Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario
• Informed proposals for local MCMC in discrete spaces
• Nonreversible Jump Algorithms for Bayesian Nested Model Selection
• Non-Reversible Parallel Tempering: A Scalable Highly Parallel MCMC Scheme

Cited In (1)

• Robust heavy-tailed versions of generalized linear models with applications in actuarial science

This page was built for publication: An asymptotic Peskun ordering and its application to lifted samplers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6565323)