Comparison of hit-and-run, slice sampling and random walk Metropolis

Understand

Different Markov chains can be used for approximate sampling of a distribution given by an unnormalized density function with respect to the Lebesgue measure.

• The hit-and-run, (hybrid) slice sampler and random walk Metropolis algorithm are popular tools to simulate such Markov chains.
• We develop a general approach to compare the efficiency of these sampling procedures by the use of a partial ordering of their Markov operators, the covariance ordering.
• In particular, we show that the hit-and-run and the simple slice sampler are more efficient than a hybrid slice sampler based on hit-and-run which, itself, is more efficient than a (lazy) random walk Metropolis algorithm.