On the convergence time of some non-reversible Markov chain Monte Carlo methods

DOI10.1007/s11009-019-09766-wzbMath1460.60081arXiv1807.02614OpenAlexW3006444424MaRDI QIDQ2218850

Florian Maire, Marie Vialaret

Publication date: 18 January 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.02614

zbMATH Keywords

convergence ratevariance reductionMCMC algorithmsnon-reversible Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (4)

Spectral analysis of the zigzag process ⋮ Adaptive schemes for piecewise deterministic Monte Carlo algorithms ⋮ A large deviation principle for the empirical measures of Metropolis-Hastings chains ⋮ Large deviations for the empirical measure of the zig-zag process

Uses Software

• CODA

Cites Work

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