Comparing sweep strategies for stochastic relaxation

Y. Amit and U. Grenander

Journal of Multivariate Analysis, 1991, vol. 37, issue 2, 197-222

Abstract: The rate of convergence of various sweep strategies of stochastic relaxation for simulating multivariate Gaussian measures are calculated and compared. Each sweep strategy prescribes a method for chosing which coordinates of the random vector are to be updated. Deterministic sweep strategies in which the coordinates are updated according to a fixed order are compared to random strategies in which the coordinate to be updated is chosen through some random mechanism. In addition block updating, in which a few coordinates are updated simultaneously, is compared to single coordinate updating.

Keywords: stochastic; relaxation; sweep; strategies; products; of; random; affine; maps; rates; of; convergence (search for similar items in EconPapers)
Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(91)90080-L
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:37:y:1991:i:2:p:197-222

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().