Convergence of adaptive and interacting Markov chain Monte Carlo algorithms

DOI10.1214/11-AOS938zbMath1246.65003arXiv1203.3036OpenAlexW2069605605MaRDI QIDQ449997

Eric Moulines, Pierre Priouret, Gersende Fort

Publication date: 3 September 2012

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

Full work available at URL: https://arxiv.org/abs/1203.3036

zbMATH Keywords

Markov chainsMarkov chain Monte Carlolaw of large numbersergodic theoremsadaptive Monte Carloparallel temperingequi-energy sampleradaptive metropolisinteracting tempering

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic learning and adaptive control (93E35) Sequential statistical analysis (62L10)

Related Items

Automatically tuned general-purpose MCMC via new adaptive diagnostics, Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter, On the convergence rates of some adaptive Markov chain Monte Carlo algorithms, Convergence and efficiency of adaptive importance sampling techniques with partial biasing, A note on formal constructions of sequential conditional couplings, Ergodicity of combocontinuous adaptive MCMC algorithms, Weak Convergence Rates of Population Versus Single-Chain Stochastic Approximation MCMC Algorithms, Quantitative Convergence Rates for Subgeometric Markov Chains, Adaptive schemes for piecewise deterministic Monte Carlo algorithms, Stochastic variable metric proximal gradient with variance reduction for non-convex composite optimization, Adaptive Gibbs samplers and related MCMC methods, On nonlinear Markov chain Monte Carlo, Convergence of adaptive and interacting Markov chain Monte Carlo algorithms, The Wang-Landau algorithm reaches the flat histogram criterion in finite time, Minimising MCMC variance via diffusion limits, with an application to simulated tempering, A framework for adaptive MCMC targeting multimodal distributions, A central limit theorem for adaptive and interacting Markov chains, A Multiresolution Method for Parameter Estimation of Diffusion Processes, Self-healing umbrella sampling: convergence and efficiency, Central limit theorems for stochastic approximation with controlled Markov chain dynamics, Adaptive Markov chain Monte Carlo for auxiliary variable method and its application to parallel tempering, Convergence of Markovian Stochastic Approximation with Discontinuous Dynamics, Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC, Bayesian computation: a summary of the current state, and samples backwards and forwards, Adaptive MCMC with online relabeling, Statistical estimation of a growth-fragmentation model observed on a genealogical tree, Parallel tempering with equi-energy moves, Efficient stochastic optimisation by unadjusted Langevin Monte Carlo. Application to maximum marginal likelihood and empirical Bayesian estimation, Adaptive Incremental Mixture Markov Chain Monte Carlo, Adaptive Component-Wise Multiple-Try Metropolis Sampling, Accelerated Dimension-Independent Adaptive Metropolis, Adaptive random neighbourhood informed Markov chain Monte Carlo for high-dimensional Bayesian variable selection, Stochastic proximal-gradient algorithms for penalized mixed models, Computation for latent variable model estimation: a unified stochastic proximal framework, A subsampling approach for Bayesian model selection, Convergence of the Wang-Landau algorithm, Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adaptive proposal distribution for random walk Metropolis algorithm
• Equi-energy sampler with applications in statistical inference and statistical mechanics
• Discussion of ``Equi-energy sampler by Kou, Zhou and Wong
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• Sequentially interacting Markov chain Monte Carlo methods
• Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo
• On nonlinear Markov chain Monte Carlo
• On adaptive Markov chain Monte Carlo algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• General state space Markov chains and MCMC algorithms
• 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
• Geometric ergodicity of Metropolis algorithms
• Quantitative bounds on convergence of time-inhomogeneous Markov chains
• Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
• Rates of convergence of the Hastings and Metropolis algorithms
• Polynomial ergodicity of Markov transition kernels.
• Markov Chains and Stochastic Stability
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Real Analysis and Probability
• Markov Chain Monte Carlo Methods for High Dimensional Inversion in Remote Sensing
• Non-linear Markov Chain Monte Carlo
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• A Note on Convergence of the Equi-Energy Sampler
• An adaptive Metropolis algorithm