2 papers
stat.CO2025
Iterated sampling importance resampling with adaptive number of proposals
Pietari Laitinen, Matti Vihola
Iterated sampling importance resampling (i-SIR) is a Markov chain Monte Carlo (MCMC) algorithm which is based on independent proposals. As grows, its samples become nearly…
math.PR2024
An invitation to adaptive Markov chain Monte Carlo convergence theory
Pietari Laitinen, Matti Vihola
Adaptive Markov chain Monte Carlo (MCMC) algorithms, which automatically tune their parameters based on past samples, have proved extremely useful in practice. The self-tuning mech…