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

Yves 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)
Pages: 14 pages
Date: 2005-03-01
New Economics Papers: this item is included in nep-cmp and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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