Stability of sequential Markov Chain Monte Carlo methods

DOI10.1051/PROC:071905MaRDI QIDQ5427534zbMATH OpenOpenAlexFDO

Authors Andreas Eberle, Carlo Marinelli

Publication date 20 November 2007

Published in ESAIM: Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/proc:071905

zbMATH Keywords

Dirichlet formsfunctional inequalitiesimportance samplingMarkov chain Monte Carlosequential Monte Carlospectral gap

Mathematics Subject Classification ID

Stochastic particle methods (65C35) Numerical integration (65D30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Sampling theory in information and communication theory (94A20)

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Cited in

(13)

• Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
• The ODE method for stability of skip-free Markov chains with applications to MCMC
• Local consistency of Markov chain Monte Carlo methods
• On the convergence of quantum and sequential Monte Carlo methods
• Accelerating Proximal Markov Chain Monte Carlo by Using an Explicit Stabilized Method
• A note on random walks with absorbing barriers and sequential Monte Carlo methods
• Non-asymptotic error bounds for sequential MCMC methods
• Properties of marginal sequential Monte Carlo methods
• Finite sample complexity of sequential Monte Carlo estimators on multimodal target distributions
• Finite-sample complexity of sequential Monte Carlo estimators
• Sequentially interacting Markov chain Monte Carlo methods
• Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms
• Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition

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