Hit and run as a unifying device

Andersen, Hans C.; Diaconis, Persi

Andersen, Hans C.; Diaconis, Persi

Journal de la société française de statistique, Volume 148 (2007) no. 4, p. 5-28

Abstract
Résumé

We present a generalization of hit and run algorithms for Markov chain Monte Carlo problems that is ‘equivalent' to data augmentation and auxiliary variables. These algorithms contain the Gibbs sampler and Swendsen-Wang block spin dynamics as special cases. The unification allows theorems, examples, and heuristics developed in one domain to illuminate parallel domains.

Nous présentons une généralisation des algorithmes de «hit and run» en Markov chain Monte Carlo. Cette généralisation est ‘équivalente' aux méthodes de type data augmentation et auxiliary variables. La classe d'algorithmes ainsi obtenue contient comme cas particuliers l'échantillonnage de Gibbs et les block spin dynamics de Swendsen et Wang. Cette unification permet aux théorèmes, exemples et heuristiques développés dans l'un ou l'autre de ces contextes de venir éclairer de façon intéressante les approches ainsi mises en parallèle.

Keywords: Markov chain Monte Carlo algorithms, hit and run, data augmentation, auxiliary variables, Swedsen-Wang algorithm, Burnside process

@article{JSFS_2007__148_4_5_0,
     author = {Andersen, Hans C. and Diaconis, Persi},
     title = {Hit and run as a unifying device},
     journal = {Journal de la soci\'et\'e fran\c caise de statistique},
     publisher = {Soci\'et\'e fran\c caise de statistique},
     volume = {148},
     number = {4},
     year = {2007},
     pages = {5-28},
     language = {en},
     url = {http://www.numdam.org/item/JSFS_2007__148_4_5_0}
}

Andersen, Hans C.; Diaconis, Persi. Hit and run as a unifying device. Journal de la société française de statistique, Volume 148 (2007) no. 4, pp. 5-28. http://www.numdam.org/item/JSFS_2007__148_4_5_0/

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