Analysis of a nonreversible Markov chain sampler

Authors
Diaconis, P Holmes, S Neal, RM
Citation
P. Diaconis et al., Analysis of a nonreversible Markov chain sampler, ANN APPL PR, 10(3), 2000, pp. 726-752
Citations number
34
Categorie Soggetti
Mathematics
Journal title
ANNALS OF APPLIED PROBABILITY
ISSN journal
10505164 → ACNP
Volume
10
Issue
3
Year of publication
2000
Pages
726 - 752
Database
ISI
SICI code
1050-5164(200008)10:3<726:AOANMC>2.0.ZU;2-A
Abstract
We analyze the convergence to stationarity of a simple nonreversible Markov chain that serves as a model for several nonreversible Markov chain sampli ng methods that are used in practice. Our theoretical and numerical results show that nonreversibility can indeed lead to improvements over the diffus ive behavior of simple Markov chain sampling schemes. The analysis uses bot h probabilistic techniques and an explicit diagonalization.