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Time-to-Coalescence for interacting particle systems : parallel versus sequential updating

  • Studying the influence of the updating scheme for MCMC algorithm on spatially extended models is a well known problem. For discrete-time interacting particle systems we study through simulations the effectiveness of a synchronous updating scheme versus the usual sequential one. We compare the speed of convergence of the associated Markov chains from the point of view of the time-to-coalescence arising in the coupling-from-the-past algorithm. Unlike the intuition, the synchronous updating scheme is not always the best one. The distribution of the time-to-coalescence for these spatially extended models is studied too.

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Author:Pierre-Yves Louis, Jean-Baptiste Rouquier
Series (Serial Number):Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2009, 03)
Document Type:Preprint
Year of Completion:2009
Publishing Institution:Universität Potsdam
Release Date:2011/03/31
RVK - Regensburg Classification:SI 990
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht