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Convergence of the equi-energy sampler and its application to the Ising model. (English) Zbl 1534.62004

Summary: We provide a complete proof of the convergence of a recently developed sampling algorithm called the equi-energy (EE) sampler [S. C. Kou et al., Ann. Stat. 34, No. 4, 1581–1619 (2006; Zbl 1246.82054)] in the case that the state space is countable. In a countable state space, each sampling chain in the EE sampler is strongly ergodic a.s. with the desired steady-state distribution. Furthermore, all chains satisfy the individual ergodic property. We apply the EE sampler to the Ising model to test its efficiency, comparing it with the Metropolis algorithm and the parallel tempering algorithm. We observe that the dynamic exponent of the EE sampler is significantly smaller than those of parallel tempering and the Metropolis algorithm, demonstrating its high efficiency.

MSC:

62-08 Computational methods for problems pertaining to statistics
65C05 Monte Carlo methods
82B20 Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics

Citations:

Zbl 1246.82054