Solving the Poisson equation using coupled Markov chains

DOI10.1214/25-AOS2564MaRDI QIDQ6844171zbMATH OpenFDO

Authors Randal Douc, Pierre E. Jacob, Anthony Lee, Dootika Vats

Publication date 16 March 2026

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/annals-of-statistics/volume-54/issue-1/Solving-the-Poisson-equation-using-coupled-Markov-chains/10.1214/25-AOS2564.full

zbMATH Keywords

asymptotic variancecouplingMarkov chain Monte CarloPoisson equation

Mathematics Subject Classification ID

Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Cites work

• A Coupling-Regeneration Scheme for Diagnosing Convergence in Markov Chain Monte Carlo Algorithms
• A Liapounov bound for solutions of the Poisson equation
• A regeneration proof of the central limit theorem for uniformly ergodic Markov chains
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Batch size selection for variance estimators in MCMC
• Central limit theorems for additive functionals of Markov chains.
• Control Variates for Estimation Based on Reversible Markov Chain Monte Carlo Samplers
• Convergence control methods for Markov chain Monte Carlo algorithms
• Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
• Coupled conditional backward sampling particle filter
• Coupling-based convergence assessment of some Gibbs samplers for high-dimensional Bayesian regression with shrinkage priors
• Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
• Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
• Exact estimation for Markov chain equilibrium expectations
• Exponential convergence of Langevin distributions and their discrete approximations
• Geometric ergodicity of Metropolis algorithms
• Globally Centered Autocovariances in MCMC
• Handbook of Multilevel Analysis
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Irreducibility and geometric ergodicity of Hamiltonian Monte Carlo
• Lagged couplings diagnose Markov chain Monte Carlo phylogenetic inference
• Lugsail lag windows for estimating time-average covariance matrices
• Markov chain Monte Carlo confidence intervals
• Markov Chains
• Markov Chains and Stochastic Stability
• Multivariate output analysis for Markov chain Monte Carlo
• On coupling of Markov chains
• On the applicability of regenerative simulation in Markov chain Monte Carlo
• On the Markov chain central limit theorem
• On the Poisson equation for Metropolis-Hastings chains
• Random sampling with a reservoir
• Rates of convergence of the Hastings and Metropolis algorithms
• Regeneration in Markov Chain Samplers
• Strong consistency of multivariate spectral variance estimators in Markov chain Monte Carlo
• The Asymptotic Efficiency of Simulation Estimators
• Unbiased Hamiltonian Monte Carlo with couplings
• Unbiased Markov chain Monte Carlo for intractable target distributions
• Unbiased Markov Chain Monte Carlo Methods with Couplings
• Unbiased Monte Carlo: posterior estimation for intractable/infinite-dimensional models
• Variance reduction for Metropolis-Hastings samplers
• Variance reduction through smoothing and control variates for Markov chain simulations

This page was built for publication: Solving the Poisson equation using coupled Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6844171)