Year: 2018
Type: article
Abstract: We study the approach to equilibrium of the event-chain Monte Carlo (ECMC) algorithm for the one-dimensional hard-sphere model. Using the connection to the coupon-collector problem, we prove that a specific version of this local irreversible Markov chain realizes perfect sampling in single steps, whereas the reversible local Metropolis algorithm requires single steps for mixing. This confirms a special case of an earlier conjecture about scaling of mixing times of ECMC and of the lifted forward Metropolis algorithm, its discretized variant. We also prove that sequential ECMC (with swaps) realizes perfect sampling in single events. Numerical simulations indicate a cross-over towards mixing for the sequential forward swap Metropolis algorithm, that we introduce here. We point out open mathematical questions and possible applications of our findings to higher-dimensional models.
Source: Europhysics Letters (EPL)
Authors: Ze Lei, Werner Krauth
Institutions: Centre National de la Recherche Scientifique, Université Paris Sciences et Lettres, École Normale Supérieure - PSL, Sorbonne Université, Sorbonne Paris Cité, Max Planck Institute for the Physics of Complex Systems, Laboratoire de Physique de l'Ecole Normale Supérieure, Université Paris Diderot
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze
Funder: Alexander von Humboldt-Stiftung
OpenAlex ID: W2808060068