Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal

DOI10.1111/1467-9469.00064zbMath1023.65003OpenAlexW2003241476MaRDI QIDQ4416158

Didier Chauveau, Pierre Vandekerkhove

Publication date: 7 August 2003

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00064

zbMATH Keywords

convergenceMarkov chain Monte Carloindependence samplerHastings-Metropolis algorithmadaptive proposal

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (8)

A new adaptive approach of the Metropolis-Hastings algorithm applied to structural damage identification using time domain data ⋮ Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm ⋮ Ordering and improving the performance of Monte Carlo Markov chains. ⋮ Bayesian Model Calibration with Interpolating Polynomials based on Adaptively Weighted Leja Nodes ⋮ Parallel and interacting Markov chain Monte Carlo algorithm ⋮ A Bayesian change point modeling approach to identify local temperature changes related to urbanization ⋮ Interacting multiple try algorithms with different proposal distributions ⋮ Bayesian analysis of the logit model and comparison of two Metropolis-Hastings strategies.

Cites Work

• Geometric convergence of the Metropolis-Hastings simulation algorithm
• Rates of convergence of the Hastings and Metropolis algorithms
• An automated stopping rule for MCMC convergence assessment
• Un algorithme de Hastings-Metropolis avec apprentissage séquentiel

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