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Register a new userOn the convergence time of some non-reversible Markov chain Monte Carlo methods
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Added by
Florian Maire
Publication date
2018
fields
Mathematical Statistics
and research's language is
English
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It is commonly admitted that non-reversible Markov chain Monte Carlo (MCMC) algorithms usually yield more accurate MCMC estimators than their reversible counterparts. In this note, we show that in addition to their variance reduction effect, some non-reversible MCMC algorithms have also the undesirable property to slow down the convergence of the Markov chain. This point, which has been overlooked by the literature, has obvious practical implications. We illustrate this phenomenon for different non-reversib
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