Convergence of adaptive and interacting Markov chain Monte Carlo algorithms

DOI10.1214/11-AOS938zbMATH Open1246.65003arXiv1203.3036OpenAlexW2069605605MaRDI QIDQ449997FDOQ449997

Authors: Gersende Fort, Eric Moulines, P. Priouret 

Publication date: 3 September 2012

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

Abstract: Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions. Motivated by some recently introduced algorithms (such as the adaptive Metropolis algorithm and the interacting tempering algorithm), we develop a general methodological and theoretical framework to establish both the convergence of the marginal distribution and a strong law of large numbers. This framework weakens the conditions introduced in the pioneering paper by Roberts and Rosenthal [J. Appl. Probab. 44 (2007) 458--475]. It also covers the case when the target distribution $pi$ is sampled by using Markov transition kernels with a stationary distribution that differs from $pi$.

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

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zbMATH Keywords

Markov chain Monte Carloadaptive Monte Carloequi-energy samplerparallel temperingMarkov chainslaw of large numbersergodic theoremsadaptive metropolisinteracting tempering

Mathematics Subject Classification ID

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

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Cited In (46)

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• Adaptive MCMC with online relabeling
• Adaptive Incremental Mixture Markov Chain Monte Carlo
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