Adaptive Gibbs samplers

Details Adaptive Gibbs samplers Adaptive Gibbs samplers

2010-01-16

arxiv.org/abs/1001.2797v1

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We consider various versions of adaptive Gibbs and Metropolis within-Gibbs samplers, which update their selection probabilities (and perhaps also their proposal distributions) on the fly during a run, by learning as they go in an attempt to optimise the algorithm. We present a cautionary example of how even a simple-seeming adaptive Gibbs sampler may fail to converge. We then present various positive results guaranteeing convergence of adaptive Gibbs samplers under certain conditions.

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