| Title: |
Analysis of multiple-try Metropolis via Poincaré inequalities |
| Authors: |
Caprio, Rocco; Power, Sam; Wang, Andi Q. |
| Publisher Information: |
Institute of Mathematical Statistics |
| Publication Year: |
2026 |
| Collection: |
The University of Warwick: WRAP - Warwick Research Archive Portal |
| Subject Terms: |
QA Mathematics |
| Description: |
We study the Multiple-try Metropolis algorithm using the framework of Poincaré inequalities. We describe the Multiple-try Metropolis as an auxiliary variable implementation of a resampling approximation to an ideal Metropolis–Hastings algorithm. Under suitable moment conditions on the importance weights, we derive explicit Poincaré comparison results between the Multiple-try algorithm and the ideal algorithm. We characterize the spectral gap of the latter, and finally in the Gaussian case prove explicit non-asymptotic convergence bounds for Multiple-try Metropolis by comparison. |
| Document Type: |
article in journal/newspaper |
| File Description: |
application/pdf |
| Language: |
English |
| ISSN: |
1935-7524 |
| Relation: |
https://wrap.warwick.ac.uk/id/eprint/196653/3/Download.pdf; https://wrap.warwick.ac.uk/id/eprint/196653/2/WPIs_and_Multiple_try_Metropolis-accepted.pdf; Caprio, Rocco, Power, Sam and Wang, Andi Q. (2026) Analysis of multiple-try Metropolis via Poincaré inequalities. Electronic Journal of Statistics, 20 (1). pp. 915-941. doi:10.1214/26-EJS2502 ISSN 1935-7524. |
| DOI: |
10.1214/26-EJS2502 |
| Availability: |
https://wrap.warwick.ac.uk/id/eprint/196653/; https://wrap.warwick.ac.uk/id/eprint/196653/3/Download.pdf; https://doi.org/10.1214/26-EJS2502 |
| Rights: |
cc_by_4 |
| Accession Number: |
edsbas.347CADC4 |
| Database: |
BASE |