Metropolis-Hastings algorithms with acceptance ratios of nearly 1

DOI10.1007/s10463-008-0180-6zbMath1332.60114OpenAlexW2110509938MaRDI QIDQ904057

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

zbMATH Keywords

Metropolis-Hastings algorithmpolynomial ergodicityMetropolis adjusted Langevin algorithmLangevin diffusion

Mathematics Subject Classification ID

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

Related Items (2)

Limit theorems for some adaptive MCMC algorithms with subgeometric kernels. II ⋮ Ergodicity of Markov chain Monte Carlo with reversible proposal

Cites Work

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• Langevin-type models. I: Diffusions with given stationary distributions and their discretizations
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• General Irreducible Markov Chains and Non-Negative Operators
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Subgeometric Rates of Convergence of f-Ergodic Markov Chains
• Monte Carlo sampling methods using Markov chains and their applications

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