Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms

@article{Craiu2015StabilityOA,
  title={Stability of adversarial Markov chains, with an application to adaptive MCMC algorithms},
  author={Radu V. Craiu and Lawrence Gray and K. Latuszynski and N. Madras and G. Roberts and J. Rosenthal},
  journal={Annals of Applied Probability},
  year={2015},
  volume={25},
  pages={3592-3623}
}
  • Radu V. Craiu, Lawrence Gray, +3 authors J. Rosenthal
  • Published 2015
  • Mathematics
  • Annals of Applied Probability
  • We consider whether ergodic Markov chains with bounded step size remain bounded in probability when their transitions are modied by an adversary on a bounded subset. We provide counterexamples to show that the answer is no in general, and prove theorems to show that the answer is yes under various additional assumptions. We then use our results to prove convergence of various adaptive Markov chain Monte Carlo algorithms. 
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