On swapping and simulated tempering algorithms

Zhongrong Zheng

Stochastic Processes and their Applications, 2003, vol. 104, issue 1, 131-154

Abstract: In this paper we study the relationships between two Markov Chain Monte Carlo algorithms--the Swapping Algorithm (also known as the Metropolis-coupled algorithm) and the simulated tempering algorithm. We give a proof that the spectral gap of the simulated tempering chain is bounded below by a multiple of that of the swapping chain.

Keywords: Markov; chains; Monte; Carlo; algorithms; Swapping; Simulated; tempering; Spectral; gap; Dirichlet; forms; Eigenvalues; Multimodal; distributions (search for similar items in EconPapers)
Date: 2003
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