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A tutorial on adaptive MCMC

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Abstract

We review adaptive Markov chain Monte Carlo algorithms (MCMC) as a mean to optimise their performance. Using simple toy examples we review their theoretical underpinnings, and in particular show why adaptive MCMC algorithms might fail when some fundamental properties are not satisfied. This leads to guidelines concerning the design of correct algorithms. We then review criteria and the useful framework of stochastic approximation, which allows one to systematically optimise generally used criteria, but also analyse the properties of adaptive MCMC algorithms. We then propose a series of novel adaptive algorithms which prove to be robust and reliable in practice. These algorithms are applied to artificial and high dimensional scenarios, but also to the classic mine disaster dataset inference problem.

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Authors and Affiliations

  1. School of Mathematics, University of Bristol, Bristol, BS8 1TW, UK

    Christophe Andrieu

  2. Chairs of Statistics, École Polytechnique Fédérale de Lausanne, 1015, Lausanne, Switzerland

    Johannes Thoms

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  1. Christophe Andrieu
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Correspondence to Christophe Andrieu.

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Andrieu, C., Thoms, J. A tutorial on adaptive MCMC. Stat Comput 18, 343–373 (2008). https://doi.org/10.1007/s11222-008-9110-y

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