Gibbs/Metropolis algorithms on a convex polytope

被引:0
|
作者
Persi Diaconis
Gilles Lebeau
Laurent Michel
机构
[1] Stanford University,Departments of Mathematics and Statistics
[2] Université de Nice Sophia-Antipolis,Département de Mathématiques, Parc Valrose
来源
Mathematische Zeitschrift | 2012年 / 272卷
关键词
Markov Chain; Dirichlet Form; Convex Polytope; Simple Eigenvalue; Metropolis Algorithm;
D O I
暂无
中图分类号
学科分类号
摘要
This paper gives sharp rates of convergence for natural versions of the Metropolis algorithm for sampling from the uniform distribution on a convex polytope. The singular proposal distribution, based on a walk moving locally in one of a fixed, finite set of directions, needs some new tools. We get useful bounds on the spectrum and eigenfunctions using Nash and Weyl-type inequalities. The top eigenvalues of the Markov chain are closely related to the Neumann eigenvalues of the polytope for a novel Laplacian.
引用
收藏
页码:109 / 129
页数:20
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