Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms

DOI10.1214/14-AAP1083MaRDI QIDQ894817zbMATH OpenFDO

Authors Radu V. Craiu, Krzysztof Łatuszyński, Neal Madras, Gareth O. Roberts, Jeffrey S. Rosenthal, Lawrence F. Gray

Publication date 24 November 2015

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

Full work available at URL https://arxiv.org/abs/1403.3950, https://projecteuclid.org/euclid.aoap/1443703783

zbMATH Keywords

stabilityperturbationsadaptive Markov chain Monte Carlo algorithmsergodic Markov chains

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Point estimation (62F10) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We consider whether ergodic Markov chains with bounded step size remain bounded in probability when their transitions are modified by an adversary on a bounded subset. We provide counterexamples to show that the answer is no in general, and prove theorems to show that the answer is yes under various additional assumptions. We then use our results to prove convergence of various adaptive Markov chain Monte Carlo algorithms.

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Cited in

(8)

• Adaptive Incremental Mixture Markov Chain Monte Carlo
• An adaptive multiple-try Metropolis algorithm
• Adaptive schemes for piecewise deterministic Monte Carlo algorithms
• Ergodicity of combocontinuous adaptive MCMC algorithms
• Accelerating adaptation in the adaptive Metropolis–Hastings random walk algorithm
• The containment condition and AdapFail algorithms
• Detecting Markov chain instability: a Monte Carlo approach
• Adaptive Component-Wise Multiple-Try Metropolis Sampling

Describes a project that uses

Uses Software

• mcmcse

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