Geometric ergodicity of Metropolis algorithms

DOI10.1016/S0304-4149(99)00082-4zbMATH Open0997.60070OpenAlexW2017874618MaRDI QIDQ1613599FDOQ1613599

Authors: Søren Fiig Jarner, Ernst Hansen 

Publication date: 29 August 2002

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00082-4

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zbMATH Keywords

Markov chain Monte CarloMetropolis algorithmgeometric ergodicitysuper-exponential densities

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

Cites Work

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• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
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• Computable bounds for geometric convergence rates of Markov chains
• Bounds on regeneration times and convergence rates for Markov chains

Cited In (only showing first 100 items - show all)

• Neuronized Priors for Bayesian Sparse Linear Regression
• Non-asymptotic guarantees for sampling by stochastic gradient descent
• Convergence of conditional Metropolis-Hastings samplers
• Extremal indices, geometric ergodicity of Markov chains and MCMC
• Polynomial ergodicity of Markov transition kernels.
• Practical drift conditions for subgeometric rates of convergence.
• Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
• Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
• On the geometric ergodicity of Hamiltonian Monte Carlo
• On the geometric ergodicity of Metropolis-Hastings algorithms
• On the validity of the batch quantile method for Markov chains
• Micro-local analysis for the Metropolis algorithm
• Density Estimation for the Metropolis–Hastings Algorithm
• Which ergodic averages have finite asymptotic variance?
• Rates of convergence of the Hastings and Metropolis algorithms
• Geometric allocation approach for the transition kernel of a Markov chain
• Hybrid samplers for ill-posed inverse problems
• Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
• Numerical integration using V-uniformly ergodic Markov chains
• Information-geometric Markov chain Monte Carlo methods using diffusions
• Variance reduction for Markov chains with application to MCMC
• \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• Quenched phantom distribution functions for Markov chains
• Remarks on the speed of convergence of mixing coefficients and applications
• MCMC Algorithms for Posteriors on Matrix Spaces
• Unbiased Markov chain Monte Carlo for intractable target distributions
• Rademacher complexity for Markov chains: applications to kernel smoothing and Metropolis-Hastings
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• Adaptive Gibbs samplers and related MCMC methods
• Exponential concentration inequalities for additive functionals of Markov chains
• Geometric ergodicity of Metropolis-Hastings algorithms for conditional simulation in generalized linear mixed models
• Ergodicity of Markov chain Monte Carlo with reversible proposal
• Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap
• Log-concave sampling: Metropolis-Hastings algorithms are fast
• On the Geometric Ergodicity of Metropolis-Hastings Algorithms for Lattice Gaussian Sampling
• Robust adaptive Metropolis algorithm with coerced acceptance rate
• Variable transformation to obtain geometric ergodicity in the random-walk Metropolis algorithm
• Geometric ergodicity of a hybrid sampler for Bayesian inference of phylogenetic branch lengths
• Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• On the geometric ergodicity of hybrid samplers
• Nonparametric estimation of the stationary density and the transition density of a Markov chain
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• On the convergence of stochastic approximations under a subgeometric ergodic Markov dynamic
• Iterative simulation methods
• An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
• Spectral gaps and error estimates for infinite-dimensional Metropolis-Hastings with non-Gaussian priors
• On the convergence of the Metropolis-Hastings Markov chains
• On nonlinear Markov chain Monte Carlo
• Geometric Ergodicity of van Dyk and Meng's Algorithm for the Multivariate Student'stModel
• The Markov chain Monte Carlo revolution
• An Extension of the Metropolis Algorithm
• Markovian stochastic approximation with expanding projections
• Multiplicative random walk Metropolis-Hastings on the real line
• Convergence rate of Markov chain methods for genomic motif discovery
• Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions
• On the ergodicity of general mixture of linear autoregressive time series
• Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
• Markov chain Monte Carlo: can we trust the third significant figure?
• Pathwise accuracy and ergodicity of metropolized integrators for SDEs
• Geometric ergodicity for Bayesian shrinkage models
• Convergent stochastic expectation maximization algorithm with efficient sampling in high dimension. Application to deformable template model estimation
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• On the stability and ergodicity of adaptive scaling Metropolis algorithms
• Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
• On adaptive Markov chain Monte Carlo algorithms
• A geometric interpretation of the Metropolis-Hastings algorithm.
• On the ergodicity properties of some adaptive MCMC algorithms
• Diffusion approximations and control variates for MCMC
• Perturbation bounds for Monte Carlo within metropolis via restricted approximations
• Speed up Zig-Zag
• Fast mixing of Metropolis-Hastings with unimodal targets
• A central limit theorem for adaptive and interacting Markov chains
• Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity
• On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic
• Comparison of hit-and-run, slice sampler and random walk Metropolis
• Geometric ergodicity of a Metropolis-Hastings algorithm for Bayesian inference of phylogenetic branch lengths
• A Monte Carlo integration approach to estimating drift and minorization coefficients for Metropolis-Hastings samplers
• On the theoretical properties of the exchange algorithm
• Explicit convergence bounds for Metropolis Markov chains: isoperimetry, spectral gaps and profiles
• Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
• Geometric ergodicity of the bouncy particle sampler
• Variance bounding of delayed-acceptance kernels
• Exact convergence analysis for metropolis–hastings independence samplers in Wasserstein distances
• User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient
• Convergence rates of Metropolis-Hastings algorithms
• Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
• Approximate bounding of mixing time for multiple-step Gibbs samplers
• Efficient stochastic optimisation by unadjusted Langevin Monte Carlo. Application to maximum marginal likelihood and empirical Bayesian estimation
• A Metropolis-class sampler for targets with non-convex support
• Convergence of Position-Dependent MALA with Application to Conditional Simulation in GLMMs
• Estimating drift and minorization coefficients for Gibbs sampling algorithms
• A framework for adaptive MCMC targeting multimodal distributions
• Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions
• Exponential inequalities for unbounded functions of geometrically ergodic Markov chains: applications to quantitative error bounds for regenerative Metropolis algorithms
• A computational procedure for estimation of the mixing time of the random-scan Metropolis algorithm
• Assessing and Visualizing Simultaneous Simulation Error

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