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A Markov Chain Perspective on Adaptive Monte Carlo Algorithms
Markov Chain Perspective Adaptive Monte Carlo Algorithms
2015/7/8
This paper discusses some connections between adaptive Monte Carlo algorithms and general state space Markov chains. Adaptive algorithms are iterative methods in which previously generated samples are...
A cautionary tale on the efficiency of some adaptive Monte Carlo Schemes
Monte Carlo methods Adaptive MCMC Equi-Energy sampler Martingale approximation Central limit theorems Importance resampling
2010/3/17
There is a growing interest in the literature for adaptive Markov Chain Monte
Carlo methods based on sequences of random transition kernels {Pn} where the kernel Pn
is allowed to have an invariant d...