Markowitz mean-variance portfolio theory applied to mixing MCMC samplers
michaelchchoi · x · 2026-11-11
michaelchchoi proposes a neat formalization: treat MCMC sampler mixing as a portfolio problem. Given a baseline sampler G0=P and Gibbs samplers G1, G2, allocate weights αi to maximize expected diversity ("return") and minimize its variance, formulated as maxα Σi αi D(P‖Gi) − D(Σi αi Gi‖Π) with squared-Frobenius or KL divergence.
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