Adaptive Gibbs samplers and related MCMC methods
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Abstract: We consider various versions of adaptive Gibbs and Metropolis-within-Gibbs samplers, which update their selection probabilities (and perhaps also their proposal distributions) on the fly during a run by learning as they go in an attempt to optimize the algorithm. We present a cautionary example of how even a simple-seeming adaptive Gibbs sampler may fail to converge. We then present various positive results guaranteeing convergence of adaptive Gibbs samplers under certain conditions.
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- scientific article; zbMATH DE number 472921
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- Approximate blocked Gibbs sampling for Bayesian neural networks
- The symplectic geometry of closed equilateral random walks in 3-space
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- Convergence analysis of herded-Gibbs-type sampling algorithms: effects of weight sharing
- Markov Kernels Local Aggregation for Noise Vanishing Distribution Sampling
- A new adaptive approach of the Metropolis-Hastings algorithm applied to structural damage identification using time domain data
- Scalable Bayesian Inference for Coupled Hidden Markov and Semi-Markov Models
- A Bayesian nonparametric approach to reconstruction and prediction of random dynamical systems
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- Randomized reduced forward models for efficient Metropolis-Hastings MCMC, with application to subsurface fluid flow and capacitance tomography
- Bayesian computation: a summary of the current state, and samples backwards and forwards
- Behaviour of the Gibbs sampler when conditional distributions are potentially incompatible
- Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms
- Convergence of adaptive direction sampling
- Nested adaptation of MCMC algorithms
- Implementing random scan Gibbs samplers
- Geometric ergodicity of random scan Gibbs samplers for hierarchical one-way random effects models
- The containment condition and AdapFail algorithms
- Optimizing random scan Gibbs samplers
- Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
- Adaptive random neighbourhood informed Markov chain Monte Carlo for high-dimensional Bayesian variable selection
- On the efficiency of adaptive MCMC algorithms
- A point mass proposal method for Bayesian state-space model fitting
- Sampling hyperparameters in hierarchical models: Improving on Gibbs for high-dimensional latent fields and large datasets
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