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

Yves F. Atchade

No LRSP-WP1, RePAd Working Paper Series from Département des sciences administratives, UQO

Abstract: This paper proposes an adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift (T-MALA). The scale parameter and the covariance matrix of the proposal kernel of the algorithm are simultaneously and recursively updated in order to reach the optimal acceptance rate of 0:574 (see Roberts and Rosenthal (2001)) and to estimate and use the correlation structure of the target distribution. We develop some convergence results for the algorithm. A simulation example is presented.

Keywords: Markov Chain Monte Carlo; Stochastic approximation algorithms; Metropolis Adjusted Langevin algorithm; geometric rate of convergence. (search for similar items in EconPapers)
JEL-codes: C10 C40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-ecm
Date: 2005-03-01

Downloads: (external link)
http://www.repad.org/ca/on/lrsp/csa2.pdf First version, 2005 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:pqs:wpaper:0272005

Access Statistics for this paper

More papers in RePAd Working Paper Series from Département des sciences administratives, UQO
Contact information at EDIRC.
Series data maintained by Christian Calmes ().