A Gibbs sampler on the $n$-simplex
Probability
2014-01-16 v2 Computation
Abstract
We determine the mixing time of a simple Gibbs sampler on the unit simplex, confirming a conjecture of Aldous. The upper bound is based on a two-step coupling, where the first step is a simple contraction argument and the second step is a non-Markovian coupling. We also present a MCMC-based perfect sampling algorithm based on our proof which can be applied with Gibbs samplers that are harder to analyze.
Cite
@article{arxiv.1107.5829,
title = {A Gibbs sampler on the $n$-simplex},
author = {Aaron Smith},
journal= {arXiv preprint arXiv:1107.5829},
year = {2014}
}
Comments
Published in at http://dx.doi.org/10.1214/12-AAP916 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)