Constructing optimal transition matrix for Markov chain Monte Carlo

DOI10.1016/j.laa.2015.09.016zbMath1327.15072OpenAlexW2218179008WikidataQ57435037 ScholiaQ57435037MaRDI QIDQ890561

Moody T. Chu, Sheng-Jhih Wu

Publication date: 10 November 2015

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2015.09.016

zbMATH Keywords

global optimizationminimax problemasymptotic variancestationary distributionstochastic matrixMCMCinverse eigenvector problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonconvex programming, global optimization (90C26) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimality conditions for minimax problems (49K35) Stochastic matrices (15B51) Numerical solutions to inverse eigenvalue problems (65F18)

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On the asymptotic variance of reversible Markov chain without cycles, Optimal Variance Reduction for Markov Chain Monte Carlo, Sampling and Statistical Physics via Symmetry

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