Almost sure convergence rates of adaptive increasingly rare Markov chain
Monte Carlo
Almost sure convergence rates of adaptive increasingly rare Markov chain
Monte Carlo
We consider adaptive increasingly rare Markov chain Monte Carlo (AIR MCMC), which is an adaptive MCMC method, where the adaptation concerning the past happens less and less frequently over time. Under a contraction assumption for a Wasserstein-like function we deduce upper bounds of the convergence rate of Monte Carlo sums …