720 citations · 1.4k across the 27 of their papers we have counts for
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Sampling normalizing constants in high dimensions using inhomogeneous diffusions
Christophe Andrieu, James Ridgway, Nick Whiteley
Motivated by the task of computing normalizing constants and importance sampling in high dimensions, we study the dimension dependence of fluctuations for additive functionals of t…
On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic
Christophe Andrieu, Vladislav B. Tadić, Matti Vihola
We develop a practical approach to establish the stability, that is, the recurrence in a given set, of a large class of controlled Markov chains. These processes arise in various a…
On nonlinear Markov chain Monte Carlo
Christophe Andrieu, Ajay Jasra, Arnaud Doucet +1
Let be the space of probability measures on a measurable space . In this paper we introduce a class of nonlinear Markov chain Monte Carlo (MCMC) m…
The pseudo-marginal approach for efficient Monte Carlo computations
Christophe Andrieu, Gareth O. Roberts
We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139--116…