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Non-asymptotic Error Bounds for Sequential MCMC Methods in Multimodal Settings

We prove non-asymptotic error bounds for Sequential MCMC methods in the case of multimodal target distributions. Our bounds depend in an explicit way on upper bounds on relative densities, on constants associated with local mixing properties of the MCMC dynamics, namely, local spectral gaps and local hyperboundedness, and on the amount of probability mass shifted between effectively disconnected components of the state space.

preprint2012arXivOpen access
Nikolaus Schweizer
math.PR
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Nikolaus Schweizer

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