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This content will become publicly available on March 1, 2026

Title: Convergence speed and approximation accuracy of numerical MCMC
Abstract When implementing Markov Chain Monte Carlo (MCMC) algorithms, perturbation caused by numerical errors is sometimes inevitable. This paper studies how the perturbation of MCMC affects the convergence speed and approximation accuracy. Our results show that when the original Markov chain converges to stationarity fast enough and the perturbed transition kernel is a good approximation to the original transition kernel, the corresponding perturbed sampler has fast convergence speed and high approximation accuracy as well. Our convergence analysis is conducted under either the Wasserstein metric or the$$\chi^2$$metric, both are widely used in the literature. The results can be extended to obtain non-asymptotic error bounds for MCMC estimators. We demonstrate how to apply our convergence and approximation results to the analysis of specific sampling algorithms, including Random walk Metropolis, Metropolis adjusted Langevin algorithm with perturbed target densities, and parallel tempering Monte Carlo with perturbed densities. Finally, we present some simple numerical examples to verify our theoretical claims.  more » « less
Award ID(s):
1720433
PAR ID:
10574552
Author(s) / Creator(s):
; ; ;
Publisher / Repository:
Cambridge University Press on behalf of Applied Probability Trust
Date Published:
Journal Name:
Advances in Applied Probability
Volume:
57
Issue:
1
ISSN:
0001-8678
Page Range / eLocation ID:
101 to 133
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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