Explicit error bounds for Markov chain Monte Carlo
نویسندگان
چکیده
منابع مشابه
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We prove explicit, i.e., non-asymptotic, error bounds for Markov Chain Monte Carlo methods, such as the Metropolis algorithm. The problem is to compute the expectation (or integral) of f with respect to a measure π which can be given by a density ̺ with respect to another measure. A straight simulation of the desired distribution by a random number generator is in general not possible. Thus it i...
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ژورنال
عنوان ژورنال: Dissertationes Mathematicae
سال: 2012
ISSN: 0012-3862,1730-6310
DOI: 10.4064/dm485-0-1