scholarly journals On the Rate of Convergence of the Metropolis Algorithm and Gibbs Sampler by Geometric Bounds

1994 ◽  
Vol 4 (2) ◽  
pp. 347-389 ◽  
Author(s):  
Salvatore Ingrassia
Keyword(s):  
Rate Of Convergence ◽  
Gibbs Sampler ◽  
Metropolis Algorithm

Improving Stochastic Relaxation for Gussian Random Fields

1990 ◽  
Vol 4 (3) ◽  
pp. 369-389 ◽  
Author(s):  
Piero Barone ◽  
Arnolodo Frigessi
Keyword(s):  
Rate Of Convergence ◽  
Gibbs Sampler ◽  
Random Fields ◽  
Numerical Experiments ◽  
Gaussian Random Fields ◽  
Covariance Matrices ◽  
Suitable Choice ◽  
Stochastic Algorithms ◽  
Convergence Properties ◽  
Stochastic Relaxation

In this paper, we are concerned with the simulation of Gaussian random fields by means of iterative stochastic algorithms, which are compared in terms of rate of convergence. A parametrized class of algorithms, which includes stochastic relaxation (Gibbs sampler), is proposed and its convergence properties are established. A suitable choice for the parameter improves the rate of convergence with respect to stochastic relaxation for special classes of covariance matrices. Some examples and numerical experiments are given.

A Bound on the Rate of Convergence for the Discrete Gibbs Sampler

1995 ◽  
Vol 9 (2) ◽  
pp. 211-215 ◽  
Author(s):  
I. H. Dinwoodie
Keyword(s):  
Rate Of Convergence ◽  
Stationary Distribution ◽  
Gibbs Sampler ◽  
Occupation Measure ◽  
Computable Bound

We give a computable bound on the rate of convergence of the occupation measure for the Gibbs sampler to the stationary distribution.

Products of 2 × 2 stochastic matrices with random entries

1986 ◽  
Vol 23 (04) ◽  
pp. 1019-1024
Author(s):  
Walter Van Assche
Keyword(s):  
Rate Of Convergence ◽  
Beta Distribution ◽  
Stopping Time ◽  
Stochastic Matrices

The limit of a product of independent 2 × 2 stochastic matrices is given when the entries of the first column are independent and have the same symmetric beta distribution. The rate of convergence is considered by introducing a stopping time for which asymptotics are given.

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