کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155790 | 958768 | 2011 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the stability and ergodicity of adaptive scaling Metropolis algorithms
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The stability and ergodicity properties of two adaptive random walk Metropolis algorithms are considered. Both algorithms adjust the scaling of the proposal distribution continuously based on the observed acceptance probability. Unlike the previously proposed forms of the algorithms, the adapted scaling parameter is not constrained within a predefined compact interval. The first algorithm is based on scale adaptation only, while the second one also incorporates covariance adaptation. A strong law of large numbers is shown to hold assuming that the target density is smooth enough and has either compact support or super-exponentially decaying tails.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 12, December 2011, Pages 2839–2860
Journal: Stochastic Processes and their Applications - Volume 121, Issue 12, December 2011, Pages 2839–2860
نویسندگان
Matti Vihola,