Weak Convergence of Markov Chain Sampling-Methods and Annealing Algorithms to Diffusions '

@inproceedings{GelfandWeakCO,
  title={Weak Convergence of Markov Chain Sampling-Methods and Annealing Algorithms to Diffusions '},
  author={Saul B. Gelfand}
}
Simulated annealing algorithms have traditionally been developed and analyzed along two distinct lines: Metropolis-type Markov chain algorithms and Langevin-type Markov diffusion algorithms. Here, we analyze the dynamics of continuous state Markov chains which arise from a particular implementation of the Metropolis and heat-bath Markov chain sampling methods. It is shown that certain continuous-time interpolations of the Metropolis and heat-bath chains converge weakly to Langevin diffusions… CONTINUE READING

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