Some things we've learned (about Markov chain Monte Carlo)
arXiv:1309.7754 · doi:10.3150/12-BEJSP09
Abstract
This paper offers a personal review of some things we've learned about rates of convergence of Markov chains to their stationary distributions. The main topic is ways of speeding up diffusive behavior. It also points to open problems and how much more there is to do.
Published in at http://dx.doi.org/10.3150/12-BEJSP09 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)