MCMC的reversible与irreversible的不同

A reader, impressed with indisputable success of the reversible
MCMC techniques, may still wonder if the equilibrium dynamics
is the most efficient strategy for sampling and evaluating the integrals?
In this letter we argue that typically the answer is NO. Let us
try to illustrate the ideas on a simple everyday life example. Consider
mixing sugar in a cup of coffee, which is similar to sampling,
as long as the sugar particles have to explore the entire interior of
the cup. DB dynamics corresponds to diffusion taking an enormous
mixing time. This is certainly not the best way to mix. Moreover,our everyday experience suggests a better solution—enhance mixing
with a spoon. Spoon steering generates an out-of-equilibrium
external flow which significantly accelerates mixing, while achieving
the same final result—uniform distribution of sugar concentration

over the cup.

There are two main obstacles which prevent fast mixing by
traditional MCMC methods. First, the effective energy landscape
can have high barriers, separating the energy minima. In this
case mixing time is dominated by rare processes of overcoming
the barriers. Second, slow mixing can originate from the high
entropy of the state basin (too many comparably important states)
providing major contribution to the system partition function. In
the later case mixing time is determined by the number of steps
it takes for reversible (diffusive) random walk to explore all the
relevant states.

来自“Irreversible Monte Carlo algorithms for efficient sampling”