On the stability and ergodicity of adaptive scaling Metropolis algorithms

DOI10.1016/j.spa.2011.08.006zbMath1234.65017arXiv0903.4061OpenAlexW2144035709WikidataQ109998355 ScholiaQ109998355MaRDI QIDQ645599

Matti Vihola

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.4061

zbMATH Keywords

stabilityconvergencestochastic approximationMonte Carlo methodergodicitylaw of large numbersscalingrandom walkMetropolis algorithmadaptive Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27)

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