We study general over-relaxation Markov Chain Monte Carlo samplers for multivariate Gaussian densities. We provide conditions for convergence based on the spectral radius of the transition matrix and on detailed balance. We illustrate these algorithms using an image analysis example.
General over-relaxation Markov chain Monte Carlo algorithms for Gaussian densities
Barone P;Sebastiani G;
2001
Abstract
We study general over-relaxation Markov Chain Monte Carlo samplers for multivariate Gaussian densities. We provide conditions for convergence based on the spectral radius of the transition matrix and on detailed balance. We illustrate these algorithms using an image analysis example.File in questo prodotto:
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