1. Optimal Ricci curvature Markov chain Monte Carlo methods on finite states
- Author
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Li, Wuchen and Lu, Linyuan
- Subjects
Optimization and Control (math.OC) ,Probability (math.PR) ,FOS: Mathematics ,Mathematics - Optimization and Control ,Mathematics - Probability - Abstract
We construct a new Markov chain Monte Carlo method on finite states with optimal choices of acceptance-rejection ratio functions. We prove that the constructed continuous time Markov jumping process has a global in-time convergence rate in $L^1$ distance. The convergence rate is no less than one-half and is independent of the target distribution. For example, our method recovers the Metropolis-Hastings algorithm on a two-point state. And it forms a new algorithm for sampling general target distributions. Numerical examples are presented to demonstrate the effectiveness of the proposed algorithm.
- Published
- 2023
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