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Electronic communications in probability on the efficiency of adaptive mcmc algo- (2007).
| Content Provider | CiteSeerX |
|---|---|
| Author | Andrieu, Christophe Atchadé, Yves F. |
| Abstract | 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 et al. (2001) 1 |
| File Format | |
| Publisher Date | 2007-01-01 |
| Access Restriction | Open |
| Subject Keyword | Electronic Communication Probability Efficiency Adaptive Mcmc Algo Adaptive Mcmc Chain Adaptive Mcmc Algorithm Adaptive Markov Chain Monte Carlo Learning Procedure Optimal Target Process Appropriate Condition Adaptive Metropolis Algorithm Stochastic Approximation Special Case |
| Content Type | Text |
