On the ergodicity properties of some adaptive MCMC algorithms

DOI10.1214/105051606000000286zbMath1114.65001arXivmath/0610317OpenAlexW2064871928WikidataQ122606178 ScholiaQ122606178MaRDI QIDQ862214

Christophe Andrieu, Eric Moulines

Publication date: 5 February 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610317

zbMATH Keywords

martingaleMetropolis-Hastings algorithmself-tuning algorithmStochastic approximationAdaptive Markov chain Monte Carlo algorithmPoisson methodrandomly varying truncationstate-dependent noise

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)

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