Eigenvalue analysis of an irreversible random walk with skew detailed balance conditions

Abstract: An irreversible Markov-chain Monte Carlo (MCMC) algorithm with skew detailed balance conditions originally proposed by Turitsyn et al. is extended to general discrete systems on the basis of the Metropolis-Hastings scheme. To evaluate the efficiency of our proposed method, the relaxation dynamics of the slowest mode and the asymptotic variance are studied analytically in a random walk on one dimension. It is found that the performance in irreversible MCMC methods violating the detailed balance condition is improved by appropriately choosing parameters in the algorithm.