On the ergodicity of the adaptive Metropolis algorithm on unbounded domains

DOI10.1214/10-AAP682zbMATH Open1209.65004arXiv0806.2933OpenAlexW2152283828WikidataQ109553792 ScholiaQ109553792MaRDI QIDQ614121FDOQ614121

Authors: Eero Saksman, Matti Vihola 

Publication date: 27 December 2010

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

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].

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

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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)

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Cited In (31)

• Diffusion approximations and control variates for MCMC
• Quantitative convergence rates for subgeometric Markov chains
• A central limit theorem for adaptive and interacting Markov chains
• Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
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• Convergence of Markovian stochastic approximation with discontinuous dynamics
• Conditional particle filters with diffuse initial distributions
• Ergodicity of combocontinuous adaptive MCMC algorithms
• Markovian stochastic approximation with expanding projections
• Geometric adaptive Monte Carlo in random environment
• Stochastic proximal-gradient algorithms for penalized mixed models
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
• Can the adaptive Metropolis algorithm collapse without the covariance lower bound?
• On the stability and ergodicity of adaptive scaling Metropolis algorithms
• Accelerating MCMC algorithms

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