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On the convergence time of some non-reversible Markov chain Monte Carlo methods

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 نشر من قبل Florian Maire
 تاريخ النشر 2018
  مجال البحث الاحصاء الرياضي
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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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