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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…
stat.CO2023
Quantifying the effectiveness of linear preconditioning in Markov chain Monte Carlo
Max Hird, Samuel Livingstone
We study linear preconditioning in Markov chain Monte Carlo. We consider the class of well-conditioned distributions, for which several mixing time bounds depend on the condition n…