Metropolis-Hastings algorithms with acceptance ratios of nearly 1

DOI10.1007/S10463-008-0180-6zbMATH Open1332.60114OpenAlexW2110509938MaRDI QIDQ904057FDOQ904057

Authors: Kengo Kamatani 

Publication date: 15 January 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-008-0180-6

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zbMATH Keywords

Metropolis-Hastings algorithmLangevin diffusionMetropolis adjusted Langevin algorithmpolynomial ergodicity

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Diffusion processes (60J60)

Cites Work

• Exponential convergence of Langevin distributions and their discrete approximations
• Monte Carlo sampling methods using Markov chains and their applications
• Langevin diffusions and Metropolis-Hastings algorithms
• Title not available (Why is that?)
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Markov chains and stochastic stability
• On the Markov chain central limit theorem
• Polynomial convergence rates of Markov chains
• Rates of convergence of the Hastings and Metropolis algorithms
• General Irreducible Markov Chains and Non-Negative Operators
• Subgeometric Rates of Convergence of f-Ergodic Markov Chains
• Subgeometric ergodicity of strong Markov processes
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• Title not available (Why is that?)
• Langevin-type models. I: Diffusions with given stationary distributions and their discretizations
• Practical drift conditions for subgeometric rates of convergence.
• \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm

Cited In (12)

• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• Polynomial ergodicity of Markov transition kernels.
• Hastings-Metropolis algorithms and reference measures
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels. II
• Anticipated rejection algorithms and the Darling-Mandelbrot distribution
• Ergodicity of Markov chain Monte Carlo with reversible proposal
• Numerical Results for the Metropolis Algorithm
• A note on acceptance rate criteria for CLTS for Metropolis–Hastings algorithms
• On Metropolis-Hastings algorithms with delayed rejection
• What do we know about the Metropolis algorithm?
• A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms
• A large deviation principle for the empirical measures of Metropolis-Hastings chains

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