An ergodicity result for adaptive Langevin algorithms
Marshall, Tristan and Roberts, Gareth O. (2009) An ergodicity result for adaptive Langevin algorithms. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers).
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We consider a class of adaptive MCMC algorithms using a Langevin-type proposal density. We prove that these are algorithms are ergodic when the target density has exponential tail behaviour. Unlike previous results, our approach does not require bounding the drift function.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||Q Science > QA Mathematics|
|Divisions:||Faculty of Science > Statistics|
|Library of Congress Subject Headings (LCSH):||Monte Carlo method, Markov processes, Langevin equations|
|Series Name:||Working papers|
|Publisher:||University of Warwick. Centre for Research in Statistical Methodology|
|Place of Publication:||Coventry|
|Number of Pages:||34|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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