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stat.CO2026
Linear-cost unbiased posterior estimates for crossed effects and matrix factorization models via couplings
Paolo Maria Ceriani, Andrea Pandolfi, Giacomo Zanella
We design and analyze unbiased Markov chain Monte Carlo (MCMC) schemes based on couplings of blocked Gibbs samplers (BGSs), whose total computational costs scale linearly with the…
stat.CO2026
On randomized step sizes in Metropolis-Hastings algorithms
Sebastiano Grazzi, Samuel Livingstone, Lionel Riou-Durand
The performance of Metropolis-Hastings algorithms is highly sensitive to the choice of step size, and miss-specification can lead to severe loss of efficiency. We study algorithms…