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

DOI10.1239/JAP/1445543848zbMATH Open1339.65006arXiv1207.6779OpenAlexW2119370027MaRDI QIDQ3449934FDOQ3449934

Authors:

Publication date: 30 October 2015

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

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 $O(n^{-1/2})$.

Full work available at URL: https://arxiv.org/abs/1207.6779

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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)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
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• Equi-energy sampler with applications in statistical inference and statistical mechanics
• Rates of convergence of the Hastings and Metropolis algorithms
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• A Note on Convergence of the Equi-Energy Sampler
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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
• Stochastic adaptive selection of weights in the simulated tempering algorithm
• Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms
• Local weak consistency of Markov chain Monte Carlo methods with application to mixture model
• Title not available (Why is that?)
• Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms
• On the efficiency of adaptive MCMC algorithms

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