Markovian stochastic approximation with expanding projections

DOI10.3150/12-BEJ497zbMath1316.62124arXiv1111.5421OpenAlexW3106193260WikidataQ109998345 ScholiaQ109998345MaRDI QIDQ2448703

Christophe Andrieu, Matti Vihola

Publication date: 5 May 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.5421

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Stochastic approximation (62L20)

Related Items (7)

Stochastic recursive inclusions with non-additive iterate-dependent Markov noise ⋮ Quantitative Convergence Rates for Subgeometric Markov Chains ⋮ On Unbiased Estimation for Discretized Models ⋮ On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic ⋮ On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods ⋮ Convergence of Markovian Stochastic Approximation with Discontinuous Dynamics ⋮ Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms

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