Adaptive independent Metropolis-Hastings

DOI10.1214/08-AAP545zbMath1192.65009arXiv0903.0483MaRDI QIDQ1009493

Marit Holden, Ragnar Hauge, Lars Holden

Publication date: 2 April 2009

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

Full work available at URL: https://arxiv.org/abs/0903.0483

zbMATH Keywords

convergencenumerical examplesinverse problemsadaptive algorithmMetropolis-Hastings algorithmDoeblin conditionMarkov Chain Monte Carlosampling algorithmadaptive chain

Mathematics Subject Classification ID

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

Related Items (11)

Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter ⋮ Exact convergence analysis of the independent Metropolis-Hastings algorithms ⋮ Adaptive Metropolis-Hastings sampling using reversible dependent mixture proposals ⋮ A note on formal constructions of sequential conditional couplings ⋮ A new adaptive approach of the Metropolis-Hastings algorithm applied to structural damage identification using time domain data ⋮ Direct sampling with a step function ⋮ Polya tree Monte Carlo method ⋮ The spectrum of the independent Metropolis-Hastings algorithm ⋮ Iterative Importance Sampling Algorithms for Parameter Estimation ⋮ An Adaptive Independence Sampler MCMC Algorithm for Bayesian Inferences of Functions ⋮ Adaptive Incremental Mixture Markov Chain Monte Carlo

Cites Work

• Unnamed Item
• Markov chains and stochastic stability
• On the ergodicity properties of some adaptive MCMC algorithms
• Geometric convergence of the Metropolis-Hastings simulation algorithm
• Langevin diffusions and Metropolis-Hastings algorithms
• A methodology for fitting and validating metamodels in simulation
• Markov chains for exploring posterior distributions. (With discussion)
• Mode Jumping Proposals in MCMC
• Markov-chain monte carlo: Some practical implications of theoretical results
• On an adaptive version of the Metropolis–Hastings algorithm with independent proposal distribution
• Adaptive Markov Chain Monte Carlo through Regeneration
• Approximating Hidden Gaussian Markov Random Fields
• An adaptive Metropolis algorithm

This page was built for publication: Adaptive independent Metropolis-Hastings