Explicit error bounds for lazy reversible Markov chain Monte Carlo

DOI10.1016/j.jco.2008.05.005zbMath1160.65004arXiv0805.3587OpenAlexW2118757220MaRDI QIDQ998975

Daniel Rudolf

Publication date: 30 January 2009

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.3587

zbMATH Keywords

lazyMarkov chain Monte Carlo methodburn-inreversibleMetropolis algorithmconductanceexplicit error boundsball walk

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (14)

Information geometry approach to parameter estimation in Markov chains ⋮ Hit-and-Run for Numerical Integration ⋮ Nonasymptotic Bounds on the Mean Square Error for MCMC Estimates via Renewal Techniques ⋮ Curvature, concentration and error estimates for Markov chain Monte Carlo ⋮ On a Metropolis-Hastings importance sampling estimator ⋮ Rigorous confidence bounds for MCMC under a geometric drift condition ⋮ Complexity results for MCMC derived from quantitative bounds ⋮ Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings ⋮ Mixing and concentration by Ricci curvature ⋮ Nonasymptotic bounds on the estimation error of MCMC algorithms ⋮ Error bounds for computing the expectation by Markov chain Monte Carlo ⋮ A weighted discrepancy bound of quasi-Monte Carlo importance sampling ⋮ Rapid mixing of Swendsen–Wang dynamics in two dimensions ⋮ Error bounds of MCMC for functions with unbounded stationary variance

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