Optimal Variance Reduction for Markov Chain Monte Carlo

DOI10.1137/17M1144301zbMath1410.60071OpenAlexW2886617675MaRDI QIDQ4581261

Chii-Ruey Hwang, Lu-Jing Huang, Yin-Ting Liao, Ting-Li Chen

Publication date: 16 August 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1144301

zbMATH Keywords

rate of convergenceMarkov chain Monte Carloasymptotic variance

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) Inequalities involving eigenvalues and eigenvectors (15A42)

Related Items (2)

On multiple acceleration of reversible Markov chain ⋮ Sampling and Statistical Physics via Symmetry

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