A cautionary tale on the efficiency of some adaptive Monte Carlo Schemes

Abstract

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)

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Cite this paper

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