On the convergence rates of some adaptive Markov chain Monte Carlo algorithms

DOI10.1239/JAP/1445543848MaRDI QIDQ3449934zbMATH OpenOpenAlexFDO

Authors

Publication date 30 October 2015

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.6779, https://projecteuclid.org/euclid.jap/1445543848

zbMATH Keywords

convergenceequi-energy samplermixing timetotal variation distanceadaptive Markov chain Monte Carlo algorithmsimportance resampling algorithminteracting tempering algorithm

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) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Discrete-time Markov processes on general state spaces (60J05)

Abstract: This paper studies the mixing time of certain adaptive Markov Chain Monte Carlo algorithms. Under some regularity conditions, we show that the convergence rate of Importance Resampling MCMC (IRMCMC) algorithm, measured in terms of the total variation distance is $O(n^{-1})$, and by means of an example, we establish that in general, this algorithm does not converge at a faster rate. We also study the Equi-Energy sampler and establish that its mixing time is of order $O(n^{-1/2})$.

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Cites work

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Cited in

(12)

• Weak Convergence Rates of Population Versus Single-Chain Stochastic Approximation MCMC Algorithms
• Interacting Hastings-Metropolis algorithms
• Adapting the Number of Particles in Sequential Monte Carlo Methods Through an Online Scheme for Convergence Assessment
• Convergence rates of attractive-repulsive MCMC algorithms
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms
• Stochastic adaptive selection of weights in the simulated tempering algorithm
• Local weak consistency of Markov chain Monte Carlo methods with application to mixture model
• scientific article; zbMATH DE number 5520724 (Why is no real title available?)
• Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms
• On the efficiency of adaptive MCMC algorithms

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