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August 1, 2000The Annals of Applied Probability287 citationsOpen Access

Analysis of a nonreversible Markov chain sampler

PDPersi DiaconisSHSusan HolmesRNRadford M. Neal

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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.

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Diaconis et al. (2000) studied this question.

synapsesocial.com/papers/6a23d31a2dc9ee5f679f01d9https://doi.org/10.1214/aoap/1019487508
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