A GIBBS SAMPLER ON THE n-SIMPLEX

• 成果类型: Article
• 署名作者: Smith, Aaron
• 署名单位: Brown University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/12-AAP916
• 发表日期: 2014
• 页码: 114-130
• 关键词: random-walks; CONVERGENCE

摘要

We determine the mixing time of a simple Gibbs sampler on the unit simplex, confirming a conjecture of Aldous. The upper bound is based on a two-step coupling, where the first step is a simple contraction argument and the second step is a non-Markovian coupling. We also present a MCMC-based perfect sampling algorithm based on our proof which can be applied with Gibbs samplers that are harder to analyze.