207 citations · 565 across the 24 of their papers we have counts for
4 papers · 1 filter
Explicit convergence bounds for Metropolis Markov chains: isoperimetry, spectral gaps and profiles
Christophe Andrieu, Anthony Lee, Sam Power +1
We derive the first explicit bounds for the spectral gap of a random walk Metropolis algorithm on for any value of the proposal variance, which when scaled appropriately reco…
Poincaré inequalities for Markov chains: a meeting with Cheeger, Lyapunov and Metropolis
Christophe Andrieu, Anthony Lee, Sam Power +1
We develop a theory of weak Poincaré inequalities to characterize convergence rates of ergodic Markov chains. Motivated by the application of Markov chains in the context of algori…
Uniform Ergodicity of the Iterated Conditional SMC and Geometric Ergodicity of Particle Gibbs samplers
Christophe Andrieu, Anthony Lee, Matti Vihola
We establish quantitative bounds for rates of convergence and asymptotic variances for iterated conditional sequential Monte Carlo (i-cSMC) Markov chains and associated particle Gi…
Feynman-Kac particle integration with geometric interacting jumps
Pierre Del Moral, Pierre E. Jacob, Anthony Lee +2
This article is concerned with the design and analysis of discrete time Feynman-Kac particle integration models with geometric interacting jump processes. We analyze two general ty…