Rates of convergence of the Hastings and Metropolis algorithms

DOI10.1214/AOS/1033066201zbMATH Open0854.60065OpenAlexW1973594349WikidataQ56994734 ScholiaQ56994734MaRDI QIDQ1922398FDOQ1922398

Authors: K. Mengersen, R. L. Tweedie 

Publication date: 5 January 1997

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

Full work available at URL: https://doi.org/10.1214/aos/1033066201

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zbMATH Keywords

Markov chain Monte CarloGibbs samplingposterior distributionsgeometric ergodicitylog-concave distributionsstochastic monotonicityMetropolis algorithmsirreducible Markov processesHastings algorithms

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Discrete-time Markov processes on general state spaces (60J05)

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

• Convergence of contrastive divergence algorithm in exponential family
• Perturbation bounds for Monte Carlo within metropolis via restricted approximations
• Approximation and sampling of multivariate probability distributions in the tensor train decomposition
• A new class of stochastic EM algorithms. Escaping local maxima and handling intractable sampling
• Mixture of transmuted Pareto distribution: properties, applications and estimation under Bayesian framework
• Fast mixing of Metropolis-Hastings with unimodal targets
• Simple conditions for metastability of continuous Markov chains
• Bayesian analysis of the logit model and comparison of two Metropolis-Hastings strategies.
• On the convergence rates of some adaptive Markov chain Monte Carlo algorithms
• Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity
• Irreducibility and geometric ergodicity of Hamiltonian Monte Carlo
• Hastings-Metropolis algorithms and reference measures
• Which ergodic averages have finite asymptotic variance?
• Conductance bounds on the L² convergence rate of Metropolis algorithms on unbounded state spaces
• Pseudo-perfect and adaptive variants of the Metropolis–Hastings algorithm with an independent candidate density
• Numerical simulation of polynomial-speed convergence phenomenon
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Information bounds for Gibbs samplers
• Remarks on the speed of convergence of mixing coefficients and applications
• MCMC Algorithms for Posteriors on Matrix Spaces
• Annealing stochastic approximation Monte Carlo algorithm for neural network training
• Rademacher complexity for Markov chains: applications to kernel smoothing and Metropolis-Hastings
• Exponential concentration inequalities for additive functionals of Markov chains
• Exact bound for the convergence of metropolis chains
• Note on the Sampling Distribution for the Metropolis-Hastings Algorithm
• Geometric convergence of the Metropolis-Hastings simulation algorithm
• Log-concave sampling: Metropolis-Hastings algorithms are fast
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• On the rate of convergence of the Gibbs sampler for the 1-D Ising model by geometric bound
• Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits
• Numerical Results for the Metropolis Algorithm
• On the influence of the proposal distributions on a reversible jump MCMC algorithm applied to the detection of multiple change-points
• On the convergence of the Metropolis-Hastings Markov chains
• Bayesian latent variable models for median regression on multiple outcomes
• Markovian stochastic approximation with expanding projections
• f-SAEM: a fast stochastic approximation of the EM algorithm for nonlinear mixed effects models
• Limit theorems for sequential MCMC methods
• Improved Sampling‐Importance Resampling and Reduced Bias Importance Sampling
• Computation of expectations by Markov chain Monte Carlo methods
• Annealing evolutionary stochastic approximation Monte Carlo for global optimization
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• Scalable Optimization-Based Sampling on Function Space
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• A Bayesian approach to continuous type principal-agent problems
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• Parameter estimation of population pharmacokinetic models with stochastic differential equations: implementation of an estimation algorithm
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• Neuronized Priors for Bayesian Sparse Linear Regression
• Convergence of conditional Metropolis-Hastings samplers
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
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• Variance bounding Markov chains
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• Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal
• Geometric ergodicity of Metropolis algorithms
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• Theoretical and numerical comparison of some sampling methods for molecular dynamics
• Sensitivity and convergence of uniformly ergodic Markov chains
• Quantitative non-geometric convergence bounds for independence samplers
• Coupling a stochastic approximation version of EM with an MCMC procedure
• On the geometric ergodicity of Metropolis-Hastings algorithms
• Stability of partially implicit Langevin schemes and their MCMC variants
• Nonasymptotic bounds on the mean square error for MCMC estimates via renewal techniques
• Micro-local analysis for the Metropolis algorithm
• Polynomial convergence rates of Markov chains
• Accelerating diffusions
• Rates of convergence of the Hastings and Metropolis algorithms
• Fluctuations of interacting Markov chain Monte Carlo methods
• Sequentially interacting Markov chain Monte Carlo methods
• Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm
• Using a Markov Chain to Construct a Tractable Approximation of an Intractable Probability Distribution
• Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
• Information-geometric Markov chain Monte Carlo methods using diffusions
• Metropolis integration schemes for self-adjoint diffusions
• \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
• Perturbation theory for Markov chains via Wasserstein distance
• On the geometrical convergence of Gibbs sampler in \(\mathbb R^d\)
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• Data augmentation, frequentist estimation, and the Bayesian analysis of multinomial logit models
• Adaptive Gibbs samplers and related MCMC methods
• A computable bound of the essential spectral radius of finite range metropolis-Hastings kernels
• Ergodicity of Markov chain Monte Carlo with reversible proposal
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• Using simulation methods for bayesian econometric models: inference, development,and communication
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• Convergence properties of the Gibbs sampler for perturbations of Gaussians

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