The containment condition and AdapFail algorithms

MaRDI QIDQ5176528zbMATH OpenFDO

Authors Krzysztof Łatuszyński, Jeffrey S. Rosenthal

Publication date 26 February 2015

Full work available at URL https://arxiv.org/abs/1307.1799, https://projecteuclid.org/euclid.jap/1421763335

zbMATH Keywords

ergodicityconvergence rateadaptive Markov chain Monte Carlo algorithmscontainment condition

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Discrete-time Markov processes on general state spaces (60J05)

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Cites work

• A note on formal constructions of sequential conditional couplings
• Adaptive Gibbs samplers and related MCMC methods
• Adaptive Markov Chain Monte Carlo through Regeneration
• An adaptive Metropolis algorithm
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Efficient MCMC for climate model parameter estimation: parallel adaptive chains and early rejection
• General state space Markov chains and MCMC algorithms
• Geometric ergodicity and hybrid Markov chains
• Markov chains and stochastic stability
• On adaptive Markov chain Monte Carlo algorithms
• On the containment condition for adaptive Markov chain Monte Carlo algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(8)

• Adaptive MCMC for multiple changepoint analysis with applications to large datasets
• scientific article; zbMATH DE number 910876 (Why is no real title available?)
• Almost sure convergence rates of adaptive increasingly rare Markov chain Monte Carlo
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms
• On the containment condition for adaptive Markov chain Monte Carlo algorithms
• Weak convergence of adaptive Markov chain Monte Carlo
• Rate-optimal refinement strategies for local approximation MCMC

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