On the Optimal Transition Matrix for Markov Chain Monte Carlo Sampling

DOI10.1137/110832288zbMath1262.60069OpenAlexW2044492509MaRDI QIDQ4905925

Chii-Ruey Hwang, Ting-Li Chen, Hui-Ming Pai, Wei-Kuo Chen

Publication date: 21 February 2013

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

Full work available at URL: https://doi.org/10.1137/110832288

zbMATH Keywords

rate of convergenceMarkov chain Monte CarloMarkov chainasymptotic variancereversibilityworst-case analysisaverage-case analysisnonreversibility

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Inequalities involving eigenvalues and eigenvectors (15A42) Numerical analysis or methods applied to Markov chains (65C40)

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