70 citations · 315 across the 30 of their papers we have counts for
3 papers · 1 filter
Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
Christophe Andrieu, Matti Vihola
We study convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms (Andrieu and Roberts [Ann. Statist. 37 (2009) 697-725]). We find that the asymptotic variance…
Adaptive parallel tempering algorithm
Blazej Miasojedow, Eric Moulines, Matti Vihola
Parallel tempering is a generic Markov chain Monte Carlo sampling method which allows good mixing with multimodal target distributions, where conventional Metropolis-Hastings algor…
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…