TY - JOUR

T1 - The polar slice sampler.

AU - Roberts, Gareth O.

AU - Rosenthal, Jeffrey S.

PY - 2002

Y1 - 2002

N2 - This paper investigates the polar slice sampler, a particular type of the Markov chain Monte Carlo algorithm known as the slice sampler. This algorithm is shown to have convergence properties which under some circumstances are essentially independent of the dimension of the problem. For log-concave densities, the algorithm probably converges (from an appropriate starting point) to within 0.01 of stationarity in total variation distance in a number of iterations given as a computable function of the spherical asymmetry of the density. In particular, for spherically symmetric log-concave densities, in arbitrary dimension, with an appropriate starting point, we prove that the algorithm converges in, at most, 525 iterations. Simulations are done which confirm the polar slice sampler's excellent performance.

AB - This paper investigates the polar slice sampler, a particular type of the Markov chain Monte Carlo algorithm known as the slice sampler. This algorithm is shown to have convergence properties which under some circumstances are essentially independent of the dimension of the problem. For log-concave densities, the algorithm probably converges (from an appropriate starting point) to within 0.01 of stationarity in total variation distance in a number of iterations given as a computable function of the spherical asymmetry of the density. In particular, for spherically symmetric log-concave densities, in arbitrary dimension, with an appropriate starting point, we prove that the algorithm converges in, at most, 525 iterations. Simulations are done which confirm the polar slice sampler's excellent performance.

U2 - 10.1081/STM-120004467

DO - 10.1081/STM-120004467

M3 - Journal article

VL - 18

SP - 257

EP - 280

JO - Stochastic Models

JF - Stochastic Models

SN - 1532-6349

IS - 2

ER -