A cautionary tale on the efficiency of some adaptive Monte Carlo schemes

DOI10.1214/09-AAP636zbMath1222.60053arXiv0901.1378OpenAlexW2051926102MaRDI QIDQ988756

Yves F. Atchadé

Publication date: 18 August 2010

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

Full work available at URL: https://arxiv.org/abs/0901.1378

zbMATH Keywords

law of large numberscentral limit theoremimportance resamplingadaptive Markov chain Monte Carloequi-energy samplermartingale approximation method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40) Randomized algorithms (68W20)

Related Items (7)

On the convergence rates of some adaptive Markov chain Monte Carlo algorithms ⋮ Fluctuations of interacting Markov chain Monte Carlo methods ⋮ On nonlinear Markov chain Monte Carlo ⋮ Convergence of adaptive and interacting Markov chain Monte Carlo algorithms ⋮ A central limit theorem for adaptive and interacting Markov chains ⋮ Parallel tempering with equi-energy moves ⋮ Efficiency bounds for semiparametric models with singular score functions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fluctuations of interacting Markov chain Monte Carlo methods
• Equi-energy sampler with applications in statistical inference and statistical mechanics
• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
• Markov chains and stochastic stability
• On the ergodicity properties of some adaptive MCMC algorithms
• Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
• Geometric ergodicity of Metropolis algorithms
• Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
• An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
• On the efficiency of adaptive MCMC algorithms
• Adaptive Markov Chain Monte Carlo through Regeneration
• Non-linear Markov Chain Monte Carlo
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Markov Processes, Gaussian Processes, and Local Times
• On a Strong Law of Large Numbers for Martingales
• An adaptive Metropolis algorithm

This page was built for publication: A cautionary tale on the efficiency of some adaptive Monte Carlo schemes