Metropolis-Hastings algorithms with acceptance ratios of nearly 1

DOI10.1007/S10463-008-0180-6MaRDI QIDQ904057zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5520724 (Why is no real title available?)
• scientific article; zbMATH DE number 646825 (Why is no real title available?)
• Exponential convergence of Langevin distributions and their discrete approximations
• General Irreducible Markov Chains and Non-Negative Operators
• Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
• Langevin diffusions and Metropolis-Hastings algorithms
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• Langevin-type models. I: Diffusions with given stationary distributions and their discretizations
• Markov chains and stochastic stability
• Monte Carlo sampling methods using Markov chains and their applications
• On the Markov chain central limit theorem
• Polynomial convergence rates of Markov chains
• Practical drift conditions for subgeometric rates of convergence.
• Rates of convergence of the Hastings and Metropolis algorithms
• Subgeometric Rates of Convergence of f-Ergodic Markov Chains
• Subgeometric ergodicity of strong Markov processes
• 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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