On the stability and ergodicity of adaptive scaling Metropolis algorithms

DOI10.1016/J.SPA.2011.08.006zbMath1234.65017arXiv0903.4061OpenAlexW2144035709WikidataQ109998355 ScholiaQ109998355MaRDI QIDQ645599

Matti Vihola

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.4061

zbMATH Keywords

stabilityconvergencestochastic approximationMonte Carlo methodergodicitylaw of large numbersscalingrandom walkMetropolis algorithmadaptive Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (11)

Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter ⋮ An adaptive multiple-try Metropolis algorithm ⋮ Accelerating adaptation in the adaptive Metropolis–Hastings random walk algorithm ⋮ Adaptive Gibbs samplers and related MCMC methods ⋮ A framework for adaptive MCMC targeting multimodal distributions ⋮ Grapham: graphical models with adaptive random walk Metropolis algorithms ⋮ Markovian stochastic approximation with expanding projections ⋮ On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic ⋮ Robust adaptive Metropolis algorithm with coerced acceptance rate ⋮ Adaptive optimal scaling of Metropolis–Hastings algorithms using the Robbins–Monro process ⋮ Conditional particle filters with diffuse initial distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• Can the adaptive Metropolis algorithm collapse without the covariance lower bound?
• On adaptive Markov chain Monte Carlo algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• General state space Markov chains and MCMC algorithms
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Geometric ergodicity of Metropolis algorithms
• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• Adaptive Markov Chain Monte Carlo through Regeneration
• Trace bounds on the solution of the algebraic matrix Riccati and Lyapunov equation
• MC's for MCMC'ists
• Stability of Stochastic Approximation under Verifiable Conditions
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• An adaptive Metropolis algorithm

This page was built for publication: On the stability and ergodicity of adaptive scaling Metropolis algorithms