Multigrid Monte Carlo method. Conceptual foundations.
By Jonathan B. Goodman, Alan D. Sokal. 1989
Subfields: Probabilistic & Bayesian Methods, Numerical Methods & Scientific Computing
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In Probabilistic & Bayesian Methods
- Michael Justin O'Sullivan
- L. Saloff‐Coste
- Eric Vanden-Eijnden
- Persi Diaconis
- Kshitij Khare
- Colin Fox
- Tiangang Cui
- Hua Zhou
In Numerical Methods & Scientific Computing
- Michael Justin O'Sullivan
- Eric Vanden-Eijnden
- Persi Diaconis
- Kshitij Khare
- Colin Fox
- Tiangang Cui
- Hua Zhou
Citations in the corpus
- On the Accuracy of Finite-Volume Schemes for Fluctuating Hydrodynamics (2009, background): “By simply deleting the subscripts k one obtains a more general but much larger linear system [36] for the real space equilibrium covariance of a snapshot of the discrete field C (U) j, j ′ = C (U) j, j ′,n=0 : MCU M−CU =−1x NC (Nc) W N ,”
- RATES OF CONVERGENCE OF SOME MULTIVARIATE MARKOV CHAINS WITH POLYNOMIAL EIGENFUNCTIONS (2009, methodology): “This process arises in the multigrid Monte Carlo method by Goodman and Sokal [22] and general overrelaxation MCMC algorithms [3, 4, 40].”
- The Multiple-Try Method and Local Optimization in Metropolis Sampling (2000, unknown): “As an alternative to the basic M-H construction, conditional sampling in some desirable subspaces or along certain directions as that in a Gibbs sampler (Geman and Geman 1984), in a multigrid Monte Carlo algorithm (Goodman and Sokal 1989), or in a hit-and-run (HR) algorithm (Chen and Schmeiser 1993)”
- Bayesian calibration of a large‐scale geothermal reservoir model by a new adaptive delayed acceptance Metropolis Hastings algorithm (2011, methodology): “statistics of interest over the chain [Goodman and Sokal, 1989; Roberts, 1996].”
- Gibbs sampling, exponential families and orthogonal polynomials (2008, background): “Goodman and Sokal [50] give an explicit diagonalization of vectorvalued Gaussian autoregressive processes which specialize to (a), (b) below.”
- Lower bounds for covering times for reversible Markov chains and random walks on graphs (1989, unknown): “General line-sampling schemes go back to Goodman and Sokal [170].”