Comparing sweep strategies for stochastic relaxation
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 37 (1991)
Issue (Month): 2 (May)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Shephard, N. & Pitt, M.K., 1995.
"Likelihood Analysis of Non-Gaussian Parameter-Driven Models,"
108, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Michael K Pitt, 1995. "Likelihood analysis of non-Gaussian parameter driven models," Economics Papers 15 & 108., Economics Group, Nuffield College, University of Oxford.
- Levine, Richard A. & Casella, George, 2006. "Optimizing random scan Gibbs samplers," Journal of Multivariate Analysis, Elsevier, vol. 97(10), pages 2071-2100, November.
- Rosenthal, Jeffrey S., 1996. "Markov chain convergence: From finite to infinite," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 55-72, March.
- Tervonen, Tommi & van Valkenhoef, Gert & Baştürk, Nalan & Postmus, Douwe, 2013. "Hit-And-Run enables efficient weight generation for simulation-based multiple criteria decision analysis," European Journal of Operational Research, Elsevier, vol. 224(3), pages 552-559.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.