On the ergodicity of the adaptive Metropolis algorithm on unbounded domains

DOI10.1214/10-AAP682MaRDI QIDQ614121zbMATH OpenOpenAlexWikidataFDO

Authors 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

ergodicityconvergenceMetropolis algorithmstochastic approximationadaptive 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)

Abstract: This paper describes sufficient conditions to ensure the correct ergodicity of the Adaptive Metropolis (AM) algorithm of Haario, Saksman and Tamminen [Bernoulli 7 (2001) 223--242] for target distributions with a noncompact support. The conditions ensuring a strong law of large numbers require that the tails of the target density decay super-exponentially and have regular contours. The result is based on the ergodicity of an auxiliary process that is sequentially constrained to feasible adaptation sets, independent estimates of the growth rate of the AM chain and the corresponding geometric drift constants. The ergodicity result of the constrained process is obtained through a modification of the approach due to Andrieu and Moulines [Ann. Appl. Probab. 16 (2006) 1462--1505].

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Cites work

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(31)

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• Conditional particle filters with diffuse initial distributions
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• Accelerating MCMC algorithms
• Diffusion approximations and control variates for MCMC
• Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
• Markovian stochastic approximation with expanding projections
• Ergodicity of combocontinuous adaptive MCMC algorithms
• Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
• Dimension-independent likelihood-informed MCMC
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels. II
• An adaptive multiple-try Metropolis algorithm
• Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter
• On adaptive Metropolis-Hastings methods
• Robust adaptive Metropolis algorithm with coerced acceptance rate
• Accelerated dimension-independent adaptive metropolis
• Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms
• Quantitative convergence rates for subgeometric Markov chains
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• Geometric adaptive Monte Carlo in random environment
• On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• Can the adaptive Metropolis algorithm collapse without the covariance lower bound?
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• A note on formal constructions of sequential conditional couplings
• Convergence of Markovian stochastic approximation with discontinuous dynamics
• Grapham: graphical models with adaptive random walk Metropolis algorithms
• On the stability and ergodicity of adaptive scaling Metropolis algorithms
• Stochastic proximal-gradient algorithms for penalized mixed models
• A central limit theorem for adaptive and interacting Markov chains

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