Markov Chain Monte Carlo and Irreversibility

Michela Ottobre*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)


Markov Chain Monte Carlo (MCMC) methods are statistical methods designed to sample from a given measure pi by constructing a Markov chain that has pi as invariant measure and that converges to pi. Most MCMC algorithms make use of chains that satisfy the detailed balance condition with respect to pi; such chains are therefore reversible. On the other hand, recent work [18, 21, 28, 29] has stressed several advantages of using irreversible processes for sampling. Roughly speaking, irreversible diffusions converge to equilibrium faster (and lead to smaller asymptotic variance as well). In this paper we discuss some of the recent progress in the study of nonreversible MCMC methods. In particular: i) we explain some of the difficulties that arise in the analysis of nonreversible processes and we discuss some analytical methods to approach the study of continuous-time irreversible diffusions; ii) most of the rigorous results on irreversible diffusions are available for continuous-time processes; however, for computational purposes one needs to discretize such dynamics. It is well known that the resulting discretized chain will not, in general, retain all the good properties of the process that it is obtained from. In particular, if we want to preserve the invariance of the target measure, the chain might no longer be reversible. Therefore iii) we conclude by presenting an MCMC algorithm, the SOL-HMC algorithm [23], which results from a nonreversible discretization of a nonreversible dynamics.

Original languageEnglish
Pages (from-to)267-292
Number of pages26
JournalReports on Mathematical Physics
Issue number3
Publication statusPublished - Jun 2016


  • Markov chain Monte Carlo
  • nonreversible diffusions
  • hypocoercivity
  • Hamiltonian Monte Carlo


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