Optimal Markov chain Monte Carlo sampling

DOI10.1002/WICS.1265zbMATH Open1545.6202MaRDI QIDQ6607904FDOQ6607904

Authors: Ting-Li Chen 

Publication date: 19 September 2024

Published in: Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

optimizationMarkov chain Monte CarloGibbs samplerMetropolis-Hastings algorithmasymptotic variance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Monte Carlo sampling methods using Markov chains and their applications
• Equation of state calculations by fast computing machines
• Adaptive Markov Chain Monte Carlo through Regeneration
• Title not available (Why is that?)
• Ordering and improving the performance of Monte Carlo Markov chains.
• Optimum Monte-Carlo sampling using Markov chains
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Markov chain comparison
• Variance bounding Markov chains
• On the optimal transition matrix for Markov chain Monte Carlo sampling
• Covariance ordering for discrete and continuous time Markov chains

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