Quantitative Non-Geometric Convergence Bounds for Independence Samplers |
| |
| Authors: | Gareth O Roberts Jeffrey S Rosenthal |
| |
| Institution: | (1) Information Technology and Telecommunications Center, The University of Kansas, Lawrence, KS 66045, USA;(2) 616 Locust St., Lawrence, KS 66044, USA;(3) 2503 Santa Rita Road Apt 56, Pleasanton, CA 94566, USA;(4) Department of Electrical and Computer Engineering, Worcester Polytechnic Institute, Atwater Kent Laboratories, AK 230 100 Institute Road, Worcester, MA 01609-2280, USA |
| |
| Abstract: | We provide precise, rigorous, fairly sharp quantitative upper and lower bounds on the time to convergence of independence
sampler MCMC algorithms which are not geometrically ergodic. This complements previous work on the geometrically ergodic case.
Our results illustrate that even simple-seeming Markov chains often converge extremely slowly, and furthermore slight changes
to a parameter value can have an enormous effect on convergence times. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
