On the efficiency of adaptive MCMC algorithms

DOI10.1214/ECP.V12-1320MaRDI QIDQ2461040zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 19 November 2007

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

Full work available at URL https://eudml.org/doc/128369

zbMATH Keywords

algorithmscomparison of methodsadaptive Metropolis algorithmMarkov chain Monte Carlo (MCMC) method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(36)

• Estimating discrete Markov models from various incomplete data schemes
• On adaptive Markov chain Monte Carlo algorithms
• Consistency of maximum-likelihood and variational estimators in the stochastic block model
• Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• Optimal search efficiency of Barker's algorithm with an exponential fitness function
• Interacting Hastings-Metropolis algorithms
• Langevin type limiting processes for adaptive MCMC
• Ergodicity of combocontinuous adaptive MCMC algorithms
• Nested adaptation of MCMC algorithms
• Adaptive Markov Chain Monte Carlo through Regeneration
• Markov chain Monte Carlo algorithms with sequential proposals
• A framework for adaptive MCMC targeting multimodal distributions
• On an adaptive preconditioned Crank-Nicolson MCMC algorithm for infinite dimensional Bayesian inference
• On the ergodicity properties of some adaptive MCMC algorithms
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels. II
• Stationarity preserving and efficiency increasing probability mass transfers made possible
• Convexization in Markov chain Monte Carlo
• On the convergence rates of some adaptive Markov chain Monte Carlo algorithms
• Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection
• An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
• Trajectory averaging for stochastic approximation MCMC algorithms
• AMCMC: an R interface for adaptive MCMC
• An adaptive approach to Langevin MCMC
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• The containment condition and AdapFail algorithms
• Adaptive Component-Wise Multiple-Try Metropolis Sampling
• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• Automatically tuned general-purpose MCMC via new adaptive diagnostics
• Adaptive independent Metropolis-Hastings
• Efficient computational strategies for doubly intractable problems with applications to Bayesian social networks
• A note on formal constructions of sequential conditional couplings
• Grapham: graphical models with adaptive random walk Metropolis algorithms
• Learn from thy neighbor: parallel-chain and regional adaptive MCMC
• An application of adaptive independent chain Metropolis-Hastings algorithms in Bayesian hazard rate estimation

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