On the Theoretical Properties of Exchange Algorithm

@article{Wang2020OnTT,
  title={On the Theoretical Properties of Exchange Algorithm},
  author={Guanyang Wang},
  journal={ArXiv},
  year={2020},
  volume={abs/2005.09235}
}
  • Guanyang Wang
  • Published 19 May 2020
  • Mathematics, Computer Science
  • ArXiv
Exchange algorithm is one of the most popular extensions of Metropolis-Hastings algorithm to sample from doubly-intractable distributions. However, theoretical exploration of exchange algorithm is very limited. For example, natural questions like `Does exchange algorithm converge at a geometric rate?' or `Does the exchange algorithm admit a Central Limit Theorem?' have not been answered. In this paper, we study the theoretical properties of exchange algorithm, in terms of asymptotic variance… 
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