On the ergodicity properties of some adaptive MCMC algorithms

DOI10.1214/105051606000000286zbMath1114.65001arXivmath/0610317OpenAlexW2064871928WikidataQ122606178 ScholiaQ122606178MaRDI QIDQ862214

Christophe Andrieu, Eric Moulines

Publication date: 5 February 2007

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

Full work available at URL: https://arxiv.org/abs/math/0610317

zbMATH Keywords

martingale Metropolis-Hastings algorithm self-tuning algorithm Stochastic approximation Adaptive Markov chain Monte Carlo algorithm Poisson method randomly varying truncation state-dependent noise

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)

Related Items

Automatically tuned general-purpose MCMC via new adaptive diagnostics, Relative entropy minimization over Hilbert spaces via Robbins-Monro, Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter, On the convergence of adaptive sequential Monte Carlo methods, An adaptive multiple-try Metropolis algorithm, Dimension-independent likelihood-informed MCMC, Adaptive Metropolis-Hastings sampling using reversible dependent mixture proposals, Transport Map Accelerated Markov Chain Monte Carlo, Algorithms for Kullback--Leibler Approximation of Probability Measures in Infinite Dimensions, A note on formal constructions of sequential conditional couplings, Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo, On the ergodicity properties of some adaptive MCMC algorithms, Ergodicity of combocontinuous adaptive MCMC algorithms, Bayesian quantile regression using the skew exponential power distribution, Convergent stochastic expectation maximization algorithm with efficient sampling in high dimension. Application to deformable template model estimation, A Strong Law of Large Numbers for Strongly Mixing Processes, Weak Convergence Rates of Population Versus Single-Chain Stochastic Approximation MCMC Algorithms, Limit theorems for some adaptive MCMC algorithms with subgeometric kernels, Trajectory averaging for stochastic approximation MCMC algorithms, Estimating discrete Markov models from various incomplete data schemes, On the ergodicity of the adaptive Metropolis algorithm on unbounded domains, On‐line partitioning of the sample space in the regional adaptive algorithm, Efficient MCMC sampling in dynamic mixture models, Adaptive sequential Monte Carlo by means of mixture of experts, Advanced Multilevel Monte Carlo Methods, Sequentially interacting Markov chain Monte Carlo methods, Sampling Constrained Probability Distributions Using Spherical Augmentation, Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms, Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance, Fluctuations of interacting Markov chain Monte Carlo methods, Multilevel dimension-independent likelihood-informed MCMC for large-scale inverse problems, An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift, Adaptive Gibbs samplers and related MCMC methods, Construction of Bayesian deformable models via a stochastic approximation algorithm: a convergence study, On nonlinear Markov chain Monte Carlo, Bayesian nonparametric vector autoregressive models, Limit theorems for some adaptive MCMC algorithms with subgeometric kernels. II, Markov chain Monte Carlo algorithms with sequential proposals, A multi-point Metropolis scheme with generic weight functions, Convergence of adaptive and interacting Markov chain Monte Carlo algorithms, On the stability and ergodicity of adaptive scaling Metropolis algorithms, A framework for adaptive MCMC targeting multimodal distributions, Grapham: graphical models with adaptive random walk Metropolis algorithms, Preconditioned Bayesian regression for stochastic chemical kinetics, Skew mixture models for loss distributions: a Bayesian approach, A central limit theorem for adaptive and interacting Markov chains, Markovian stochastic approximation with expanding projections, Simple Monte Carlo and the Metropolis algorithm, Bayesian inversion for anisotropic hydraulic phase-field fracture, An adaptive approach to Langevin MCMC, On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic, f-SAEM: a fast stochastic approximation of the EM algorithm for nonlinear mixed effects models, Consistency of Markov chain quasi-Monte Carlo on continuous state spaces, Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo, Robust adaptive Metropolis algorithm with coerced acceptance rate, Parametric inference for mixed models defined by stochastic differential equations, Generalized darting Monte Carlo, A cautionary tale on the efficiency of some adaptive Monte Carlo schemes, Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms, Adaptive Markov chain Monte Carlo for auxiliary variable method and its application to parallel tempering, On the stability of sequential Monte Carlo methods in high dimensions, Convergence of Markovian Stochastic Approximation with Discontinuous Dynamics, Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC, Efficient computational strategies for doubly intractable problems with applications to Bayesian social networks, Bayesian computation: a summary of the current state, and samples backwards and forwards, Integrating production data under uncertainty by parallel interacting Markov chains on a reduced dimensional space, Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts, A non linear mixed effects model of plant growth and estimation via stochastic variants of the EM algorithm, Adaptive independent Metropolis-Hastings, On adaptive Metropolis-Hastings methods, AMCMC: an R interface for adaptive MCMC, Conditional particle filters with diffuse initial distributions, Efficient stochastic optimisation by unadjusted Langevin Monte Carlo. Application to maximum marginal likelihood and empirical Bayesian estimation, Adaptive Incremental Mixture Markov Chain Monte Carlo, Adaptive Component-Wise Multiple-Try Metropolis Sampling, Interacting sequential Monte Carlo samplers for trans-dimensional simulation, Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution, Ensemble Transport Adaptive Importance Sampling, Accelerated Dimension-Independent Adaptive Metropolis, Geometric adaptive Monte Carlo in random environment, Stochastic proximal-gradient algorithms for penalized mixed models, Bayesian inversion by parallel interacting Markov chains, Computation for latent variable model estimation: a unified stochastic proximal framework

Cites Work