On the ergodicity of the adaptive Metropolis algorithm on unbounded domains

DOI10.1214/10-AAP682zbMath1209.65004arXiv0806.2933OpenAlexW2152283828WikidataQ109553792 ScholiaQ109553792MaRDI QIDQ614121

Eero Saksman, Matti Vihola

Publication date: 27 December 2010

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

Full work available at URL: https://arxiv.org/abs/0806.2933

zbMATH Keywords

convergencestochastic approximationergodicityMetropolis algorithmadaptive Markov chain Monte Carlo method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic stability in control theory (93E15) Stochastic learning and adaptive control (93E35)

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Cites Work

• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• On adaptive Markov chain Monte Carlo algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• Computable bounds for geometric convergence rates of Markov chains
• Geometric ergodicity of Metropolis algorithms
• Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Markov Chain Monte Carlo Methods for High Dimensional Inversion in Remote Sensing
• Stability of Stochastic Approximation under Verifiable Conditions
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Some Multivariate Chebyshev Inequalities with Extensions to Continuous Parameter Processes
• An adaptive Metropolis algorithm

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