Optimal Markov chain Monte Carlo sampling

DOI10.1002/wics.1265zbMATH Open1545.6202MaRDI QIDQ6607904

Ting-Li Chen

Publication date: 19 September 2024

Published in: Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

optimizationMarkov chain Monte Carloasymptotic varianceGibbs samplerMetropolis-Hastings algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

• Variance bounding Markov chains
• Markov chain comparison
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• Ordering and improving the performance of Monte Carlo Markov chains.
• Optimum Monte-Carlo sampling using Markov chains
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Adaptive Markov Chain Monte Carlo through Regeneration
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• On the Optimal Transition Matrix for Markov Chain Monte Carlo Sampling
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications
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