Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms

DOI10.1214/14-AAP1083zbMath1328.60169arXiv1403.3950MaRDI QIDQ894817

Jeffrey S. Rosenthal, Gareth O. Roberts, Radu V. Craiu, Krzysztof Łatuszyński, Neal Madras, Lawrence F. Gray

Publication date: 24 November 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.3950

zbMATH Keywords

stabilityperturbationsergodic Markov chainsadaptive Markov chain Monte Carlo algorithms

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Point estimation (62F10) Bayesian inference (62F15) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (6)

An adaptive multiple-try Metropolis algorithm ⋮ Ergodicity of combocontinuous adaptive MCMC algorithms ⋮ Adaptive schemes for piecewise deterministic Monte Carlo algorithms ⋮ Accelerating adaptation in the adaptive Metropolis–Hastings random walk algorithm ⋮ Adaptive Incremental Mixture Markov Chain Monte Carlo ⋮ Adaptive Component-Wise Multiple-Try Metropolis Sampling

Uses Software

• mcmcse

Cites Work

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