Error bounds for computing the expectation by Markov chain Monte Carlo

DOI10.1515/MCMA.2010.012zbMath1208.65009arXiv0906.2359OpenAlexW3103743465MaRDI QIDQ3068187

Daniel Rudolf

Publication date: 13 January 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2359

zbMATH Keywords

eigenvalueerror boundsburn-inmixing timeMarkov chain Monte Carlo methods

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (5)

Information geometry approach to parameter estimation in Markov chains ⋮ On a Metropolis-Hastings importance sampling estimator ⋮ Complexity results for MCMC derived from quantitative bounds ⋮ A weighted discrepancy bound of quasi-Monte Carlo importance sampling ⋮ Rapid mixing of Swendsen–Wang dynamics in two dimensions

Cites Work

• Geometric bounds for eigenvalues of Markov chains
• General state space Markov chains and MCMC algorithms
• Explicit error bounds for lazy reversible Markov chain Monte Carlo
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• Markov chain decomposition for convergence rate analysis
• Approximating the Permanent
• Random walks in a convex body and an improved volume algorithm
• Numerical Integration using Markov Chains
• Fixed Precision MCMC Estimation by Median of Products of Averages

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