Robust adaptive Metropolis algorithm with coerced acceptance rate

Author:

Vihola Matti

Publisher

Springer Science and Business Media LLC

Subject

Computational Theory and Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability,Theoretical Computer Science

Reference29 articles.

1. Andrieu, C., Moulines, É.: On the ergodicity properties of some adaptive MCMC algorithms. Ann. Appl. Probab. 16(3), 1462–1505 (2006)

2. Andrieu, C., Robert, C.P.: Controlled MCMC for optimal sampling. Tech. Rep. Ceremade 0125, Université Paris Dauphine (2001)

3. Andrieu, C., Thoms, J.: A tutorial on adaptive MCMC. Stat. Comput. 18(4), 343–373 (2008)

4. Andrieu, C., Moulines, É., Volkov, S.: Convergence of stochastic approximation for Lyapunov stable dynamics: a proof from first principles. Technical report (2004)

5. Andrieu, C., Moulines, É., Priouret, P.: Stability of stochastic approximation under verifiable conditions. SIAM J. Control Optim. 44(1), 283–312 (2005)

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