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  • AAP1217

    Final published version, 374 KB, PDF-document

DOI

In Turitsyn, Chertkov and Vucelja [Phys. D 240 (2011) 410-414] a nonreversible Markov Chain Monte Carlo (MCMC) method on an augmented state space was introduced, here referred to as Lifted Metropolis-Hastings (LMH). A scaling limit of the magnetization process in the Curie-Weiss model is derived for LMH, as well as for Metropolis-Hastings (MH). The required jump rate in the high (supercritical) temperature regime equals n1/2 for LMH, which should be compared to n for MH. At the critical temperature, the required jump rate equals n3/4 for LMH and n3/2 for MH, in agreement with experimental results of Turitsyn, Chertkov and Vucelja (2011). The scaling limit of LMH turns out to be a nonreversible piecewise deterministic exponentially ergodic "zig-zag" Markov process.

Original languageEnglish
Pages (from-to)846-882
Number of pages37
JournalAnnals of Applied Probability
Volume27
Issue number2
DOIs
Publication statusPublished - 2017

    Research areas

  • Exponential ergodicity, Markov chain Monte Carlo, Phase transition, Piecewise deterministic Markov process, Weak convergence

ID: 30802606