A Non-Reversible Markov Chain Sampling Method
Radford Neal Statistics and Computer Science University of Toronto Canada radford@cs.toronto.edu We introduce a nonreversible version of the Metropolis algorithm and show how it can improve on the diffusive behavior of the classical algorithm. The running time of some versions is analysed using both probabilistic techniques and an explicit diagonalisation. Numerical examples suggest real improvements over Metropolis in some cases.