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An Adaptive Version for the Metropolis Adjusted Langevin Algorithm with a Truncated Drift

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  • Yves F. Atchadé

    (University of Ottawa)

Abstract

This paper extends some adaptive schemes that have been developed for the Random Walk Metropolis algorithm to more general versions of the Metropolis-Hastings (MH) algorithm, particularly to the Metropolis Adjusted Langevin algorithm of Roberts and Tweedie (1996). Our simulations show that the adaptation drastically improves the performance of such MH algorithms. We study the convergence of the algorithm. Our proves are based on a new approach to the analysis of stochastic approximation algorithms based on mixingales theory.

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  • Yves F. Atchadé, 2006. "An Adaptive Version for the Metropolis Adjusted Langevin Algorithm with a Truncated Drift," Methodology and Computing in Applied Probability, Springer, vol. 8(2), pages 235-254, June.
    • Handle: RePEc:spr:metcap:v:8:y:2006:i:2:d:10.1007_s11009-006-8550-0
    DOI: 10.1007/s11009-006-8550-0
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    References listed on IDEAS

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    1. Jarner, Søren Fiig & Hansen, Ernst, 2000. "Geometric ergodicity of Metropolis algorithms," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 341-361, February.
    2. James Davidson & Robert de Jong, 1997. "Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 251-279.
    3. O. Stramer & R. L. Tweedie, 1999. "Langevin-Type Models II: Self-Targeting Candidates for MCMC Algorithms," Methodology and Computing in Applied Probability, Springer, vol. 1(3), pages 307-328, October.
    4. Pelletier, Mariane, 1998. "On the almost sure asymptotic behaviour of stochastic algorithms," Stochastic Processes and their Applications, Elsevier, vol. 78(2), pages 217-244, November.
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