A Note on Convergence of the Equi-Energy Sampler

DOI10.1080/07362990701857178zbMath1214.82098arXiv0711.0164OpenAlexW1972913069MaRDI QIDQ5459757

Pierre Del Moral, Ajay Jasra, Christophe Andrieu, Arnaud Doucet

Publication date: 29 April 2008

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

Full work available at URL: https://arxiv.org/abs/0711.0164

zbMATH Keywords

Poisson equationuniform ergodicityequi-energy samplernonlinear Markov chain Monte Carlo method

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Limit theorems in probability theory (60F99)

Related Items (6)

On the convergence rates of some adaptive Markov chain Monte Carlo algorithms ⋮ Equi-energy sampling does not converge rapidly on the mean-field Potts model with three colors close to the critical temperature ⋮ On nonlinear Markov chain Monte Carlo ⋮ Convergence of adaptive and interacting Markov chain Monte Carlo algorithms ⋮ A central limit theorem for adaptive and interacting Markov chains ⋮ Parallel tempering with equi-energy moves

Cites Work

• Equi-energy sampler with applications in statistical inference and statistical mechanics
• Discussion of ``Equi-energy sampler by Kou, Zhou and Wong
• Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
• A Liapounov bound for solutions of the Poisson equation
• On convergence of chains with occupational self–interactions
• Strong laws for 𝐿- and 𝑢-statistics
• Non-linear Markov Chain Monte Carlo

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