Analysis of a Nonreversible Markov Chain Sampler Export

@article{citeulike:6043585, abstract = {We analyze the convergence to stationarity of a simple nonreversible Markov chain that serves as a model for several nonreversible Markov chain sampling methods that are used in practice. Our theoretical and numerical results show that nonreversibility can indeed lead to improvements over the diffusive behavior of simple Markov chain sampling schemes. The analysis uses both probabilistic techniques and an explicit diagonalization.}, author = {Diaconis, Persi and Holmes, Susan and Neal, Radford M.}, citeulike-article-id = {6043585}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2667319}, citeulike-linkout-1 = {http://www.jstor.org/stable/2667319}, doi = {10.2307/2667319}, issn = {10505164}, journal = {The Annals of Applied Probability}, keywords = {mcmc}, number = {3}, pages = {726--752}, posted-at = {2009-10-30 16:11:22}, priority = {3}, publisher = {Institute of Mathematical Statistics}, title = {Analysis of a Nonreversible Markov Chain Sampler}, url = {http://dx.doi.org/10.2307/2667319}, volume = {10}, year = {2000} }

TY - JOUR ID - citeulike:6043585 L3 - citeulike-article-id:6043585 N2 - We analyze the convergence to stationarity of a simple nonreversible Markov chain that serves as a model for several nonreversible Markov chain sampling methods that are used in practice. Our theoretical and numerical results show that nonreversibility can indeed lead to improvements over the diffusive behavior of simple Markov chain sampling schemes. The analysis uses both probabilistic techniques and an explicit diagonalization. IS - 3 JF - The Annals of Applied Probability SN - 10505164 EP - 752 TI - Analysis of a Nonreversible Markov Chain Sampler PB - Institute of Mathematical Statistics VL - 10 SP - 726 KW - mcmc AU - Diaconis, Persi AU - Holmes, Susan AU - Neal, Radford PY - 2000/// UR - http://dx.doi.org/10.2307/2667319 ER -