Far East Journal of Theoretical Statistics
Volume 27, Issue 2, Pages 157 - 191
(March 2009)
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SPECTRAL GAPS OF RANDOM WALK METROPOLIS CHAINS
Neal Madras (Canada) and Wai Kong Yuen (Canada)
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Abstract: We present explicit bounds on the convergence rates of some symmetric random walk Metropolis Markov chains on with various target distributions. The bounds are obtained from existing and improved decomposition bounds for spectral gaps of Markov chains. The results are significant improvements on existing conductance bounds by Jarner and Yuen [10]. |
Keywords and phrases: Markov chain, Metropolis algorithm, spectral gap, decomposition. |
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