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Comparing sweep strategies for stochastic relaxation

  • Amit, Y.
  • Grenander, U.
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    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.

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    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 37 (1991)
    Issue (Month): 2 (May)
    Pages: 197-222

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    Handle: RePEc:eee:jmvana:v:37:y:1991:i:2:p:197-222
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