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 distribution πn not necessarily equal to the distribution of interest π (target distribution). These algorithms are designed such that as n → ∞, Pn converges to P… (More)

@inproceedings{Atchad2007ACT,
title={A cautionary tale on the efficiency of some adaptive Monte Carlo Schemes},
author={Y. F. Atchad{\'e}},
year={2007}
}