Mathematics – Probability
Scientific paper
2009-03-03
Annals of Applied Probability 2009, Vol. 19, No. 1, 395-413
Mathematics
Probability
Published in at http://dx.doi.org/10.1214/08-AAP545 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst
Scientific paper
10.1214/08-AAP545
We propose an adaptive independent Metropolis--Hastings algorithm with the ability to learn from all previous proposals in the chain except the current location. It is an extension of the independent Metropolis--Hastings algorithm. Convergence is proved provided a strong Doeblin condition is satisfied, which essentially requires that all the proposal functions have uniformly heavier tails than the stationary distribution. The proof also holds if proposals depending on the current state are used intermittently, provided the information from these iterations is not used for adaption. The algorithm gives samples from the exact distribution within a finite number of iterations with probability arbitrarily close to 1. The algorithm is particularly useful when a large number of samples from the same distribution is necessary, like in Bayesian estimation, and in CPU intensive applications like, for example, in inverse problems and optimization.
Hauge Ragnar
Holden Lars
Holden Marit
No associations
LandOfFree
Adaptive independent Metropolis--Hastings does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Adaptive independent Metropolis--Hastings, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Adaptive independent Metropolis--Hastings will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-652892