On the ergodicity of the adaptive Metropolis algorithm on unbounded domains (Q614121): Difference between revisions
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Revision as of 11:41, 4 March 2024
scientific article
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| English | On the ergodicity of the adaptive Metropolis algorithm on unbounded domains |
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On the ergodicity of the adaptive Metropolis algorithm on unbounded domains (English)
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27 December 2010
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The authors describe sufficient conditions to ensure the correct ergodicity of the adaptive Metropolis algorithm for target distributions with a noncompact support; see \textit{H.~Haario}, \textit{E.~Saksman}, and \textit{J.~Tamminen} [Bernoulli 7, No.~2, 223--242 (2001; Zbl 0989.65004)]; see also \textit{C.~Andrieu} and \textit{É.~Moulines} [Ann. Appl. Probab. 16, No.~3, 1462--1505 (2006; Zbl 1114.65001)]. The work is essentially self-contained, and assumes little background knowledge.
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adaptive Markov chain Monte Carlo method
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convergence
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ergodicity
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Metropolis algorithm
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stochastic approximation
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