Can the adaptive Metropolis algorithm collapse without the covariance lower bound?

DOI10.1214/EJP.V16-840MaRDI QIDQ638374zbMATH OpenOpenAlexWikidataFDO

Authors Matti Vihola

Publication date 9 September 2011

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.0522, http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle173e.html

zbMATH Keywords

adaptive Metropolis algorithmcovariance matrixeigenvaluessymmetric random-walk Metropolis algorithm

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: The Adaptive Metropolis (AM) algorithm is based on the symmetric random-walk Metropolis algorithm. The proposal distribution has the following time-dependent covariance matrix at step $n+1$ [ S_n = Cov(X_1,...,X_n) + epsilon I, ] that is, the sample covariance matrix of the history of the chain plus a (small) constant $epsilon>0$ multiple of the identity matrix $I$. The lower bound on the eigenvalues of $S_n$ induced by the factor $epsilonI$ is theoretically convenient, but practically cumbersome, as a good value for the parameter $epsilon$ may not always be easy to choose. This article considers variants of the AM algorithm that do not explicitly bound the eigenvalues of $S_n$ away from zero. The behaviour of $S_n$ is studied in detail, indicating that the eigenvalues of $S_n$ do not tend to collapse to zero in general.

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