Rates of convergence of the Hastings and Metropolis algorithms
Rates of convergence of the Hastings and Metropolis algorithms
We apply recent results in Markov chain theory to Hastings and Metropolis algorithms with either independent or symmetric candidate distributions, and provide necessary and sufficient conditions for the algorithms to converge at a geometric rate to a prescribed distribution $\pi$. In the independence case (in $\mathbb{R}^k$) these indicate that geometric …