Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter

DOI10.1016/J.CSDA.2014.10.006MaRDI QIDQ1623778zbMATH OpenOpenAlexWikidataFDO

Authors Simo Särkkä, Heikki Haario, Isambi Sailon Mbalawata, Matti Vihola

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.5875

zbMATH Keywords

Markov chain Monte Carlovariational Bayesadaptive Kalman filteradaptive Metropolis algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• Adaptive Markov Chain Monte Carlo through Regeneration
• Adaptive independent Metropolis-Hastings
• Adaptive proposal distribution for random walk Metropolis algorithm
• Advanced Markov chain Monte Carlo methods. Learning from past samples.
• An adaptive Metropolis algorithm
• Bayesian filtering and smoothing
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Handbook of Markov Chain Monte Carlo
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• Linear and nonlinear programming.
• On adaptive Markov chain Monte Carlo algorithms
• On adaptive Metropolis-Hastings methods
• On the containment condition for adaptive Markov chain Monte Carlo algorithms
• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• On the ergodicity properties of some adaptive MCMC algorithms
• On the stability and ergodicity of adaptive scaling Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Recursive Noise Adaptive Kalman Filtering by Variational Bayesian Approximations
• Robust adaptive Metropolis algorithm with coerced acceptance rate
• Stochastic processes and filtering theory

Cited in

(7)

• Adaptive tempered reversible jump algorithm for Bayesian curve fitting
• Bayesian inference using adaptive sampling
• An Adaptive Gaussian Sum Kalman Filter Based on a Partial Variational Bayesian Method
• A mathematical model for the dynamics and MCMC analysis of tomato bacterial wilt disease
• Improved distributed particle filters for tracking in a wireless sensor network
• A modified variational Bayesian noise adaptive Kalman filter
• Adaptive Metropolis Algorithm Using Variational Bayesian Adaptive Kalman Filter

Describes a project that uses

Uses Software

• ramcmc
• BayesDA

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