Accelerating diffusions

• 成果类型: Article
• 署名作者: Hwang, CR; Hwang-Ma, SY; Sheu, SJ
• 署名单位: Academia Sinica - Taiwan; Soochow University - China
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051605000000025
• 发表日期: 2005
• 页码: 1433-1444
• 关键词: gibbs sampler; stochastic relaxation; CONVERGENCE; rates

摘要

Roughly speaking, L-C is a perturbation of the self-adjoint L-0 by an antisymmetric operator C (.) del, where C is weighted divergence free. We prove that lambda(C) <= (0) and equality holds only in some rare situations. Furthermore, rho(C) <= lambda(C) and equality holds for C = 0. In other words, adding an extra drift, C(x), accelerates convergence. Related problems are also discussed.