Geometric adaptive Monte Carlo in random environment
DOI10.3934/fods.2021014zbMath1490.65003arXiv1608.07986OpenAlexW3166165895MaRDI QIDQ2072631
Alexey Lindo, Eric B. Ford, Theodore Papamarkou
Publication date: 26 January 2022
Published in: Foundations of Data Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.07986
computational complexityMarkov chain Monte Carlorandom environmentBayesian inferencerandom measurenon-Markovian processessampling efficiency
Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Processes in random environments (60K37) Numerical linear algebra (65F99)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Optimization by Simulated Annealing
- Robust adaptive Metropolis algorithm with coerced acceptance rate
- Computing the nearest correlation matrix--a problem from finance
- Information-geometric Markov chain Monte Carlo methods using diffusions
- Anderson acceleration of the alternating projections method for computing the nearest correlation matrix
- On the ergodicity of the adaptive Metropolis algorithm on unbounded domains
- Emulation of higher-order tensors in manifold Monte Carlo methods for Bayesian inverse problems
- On adaptive Metropolis-Hastings methods
- On the ergodicity properties of some adaptive MCMC algorithms
- Computing a nearest symmetric positive semidefinite matrix
- Exponential convergence of Langevin distributions and their discrete approximations
- Langevin diffusions and Metropolis-Hastings algorithms
- Bayesian learning for neural networks
- Simulated annealing algorithms for continuous global optimization: Convergence conditions
- Langevin diffusions and the Metropolis-adjusted Langevin algorithm
- Proximal Markov chain Monte Carlo algorithms
- Adaptive Step Size Selection for Hessian-Based Manifold Langevin Samplers
- Improved bound for complexity of matrix multiplication
- Random Measures, Theory and Applications
- Practical Markov Chain Monte Carlo
- Powers of tensors and fast matrix multiplication
- Evaluating Derivatives
- Optimal Scaling of Discrete Approximations to Langevin Diffusions
- A comparison of simulated annealing cooling strategies
- Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
- Methods for Modifying Matrix Factorizations
- A General Metric for Riemannian Manifold Hamiltonian Monte Carlo
- Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
- Modern Error Analysis
- An adaptive Metropolis algorithm
