Fluctuations of interacting Markov chain Monte Carlo methods

DOI10.1016/J.SPA.2012.01.001zbMATH Open1244.60043arXiv1201.0480OpenAlexW2105878523MaRDI QIDQ424473FDOQ424473

Authors: Bernard Bercu, Pierre Del Moral, Arnaud Doucet 

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We present a multivariate central limit theorem for a general class of interacting Markov chain Monte Carlo algorithms used to solve nonlinear measure-valued equations. These algorithms generate stochastic processes which belong to the class of nonlinear Markov chains interacting with their empirical occupation measures. We develop an original theoretical analysis based on resolvent operators and semigroup techniques to analyze the fluctuations of their occupation measures around their limiting values.

Full work available at URL: https://arxiv.org/abs/1201.0480

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zbMATH Keywords

random fieldsMarkov chain Monte Carlo algorithmsmartingale limit theoremsmultivariate central limit theoremsself-interacting Markov chains

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of branching processes (60J85)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Title not available (Why is that?)
• Equi-energy sampler with applications in statistical inference and statistical mechanics
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• Rates of convergence of the Hastings and Metropolis algorithms
• On nonlinear Markov chain Monte Carlo
• A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods
• Fluctuations of interacting Markov chain Monte Carlo methods
• Sequentially interacting Markov chain Monte Carlo methods
• Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes

Cited In (9)

• On the convergence rates of some adaptive Markov chain Monte Carlo algorithms
• Fluctuations of interacting Markov chain Monte Carlo methods
• Chaos and Monte Carlo approximations of the Flip-annihilation process
• Sequentially interacting Markov chain Monte Carlo methods
• Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• A functional central limit theorem for a class of interacting Markov chain Monte Carlo methods
• A new class of interacting Markov chain Monte Carlo methods
• Limit theorems for sequential MCMC methods

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