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On the efficiency of adaptive MCMC algorithms

http://www.firstlight.cn2009/3/30

[作者] Christophe Andrieu Yves Atchade

[单位] University of Bristol University of Michigan

[摘要] We study a class of adaptive Markov Chain Monte Carlo (MCMC) processes which aim at behaving as an ``optimal'' target process via a learning procedure. We show, under appropriate conditions, that the adaptive M…

[关键词] MCMC process asymptotic properties MCMC algorithms

We study a class of adaptive Markov Chain Monte Carlo (MCMC) processes which aim at behaving as an ``optimal'' target process via a learning procedure. We show, under appropriate conditions, that the adaptive MCMC chain and the ``optimal'' (nonadaptive) MCMC process share many asymptotic properties. The special case of adaptive MCMC algorithms governed by stochastic approximation is considered in details and we apply our results to the adaptive Metropolis algorithm of [Haario, Saksman, Tamminen].

Bibliography

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存档附件原文地址

原文发布时间:2009/3/30

引用本文:

Christophe Andrieu;Yves Atchade.On the efficiency of adaptive MCMC algorithms http://hftc.firstlight.cn/View.aspx?infoid=658299&cb=zhangjingxg
发布时间:2009/3/30.检索时间:2024/12/15

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