On random- and systematic-scan samplers

• 成果类型: Article
• 署名作者: Andrieu, C.
• 署名单位: University of Bristol
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asw019
• 发表日期: 2016
• 页码: 719726
• 关键词: markov-chains

摘要

We introduce a simple time-homogeneous Markov embedding of a class of time-inhomogeneous Markov chains widely used in the context of Monte Carlo sampling algorithms, such as systematic-scan Metropolis-within-Gibbs samplers. This allows us to establish that systematic-scan samplers involving two factors are always better than their random-scan counterparts, when asymptotic variance is the criterion of interest. We also show that this embedding sheds some light on the result of Maire et al. (2014) and discuss the scenario involving more than two factors.