Fluctuations of interacting Markov chain Monte Carlo methods
We present a multivariate central limit theorem for a general class of interacting Markov chain Monte Carlo algorithms used to solve nonlinear measure-valued equations. These algorithms generate stochastic processes which belong to the class of nonlinear Markov chains interacting with their empirica...
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| Format: | Journal article |
| Language: | English |
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2012
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| _version_ | 1797091402005348352 |
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| author | Bercu, B Del Moral, P Doucet, A |
| author_facet | Bercu, B Del Moral, P Doucet, A |
| author_sort | Bercu, B |
| collection | OXFORD |
| description | We present a multivariate central limit theorem for a general class of interacting Markov chain Monte Carlo algorithms used to solve nonlinear measure-valued equations. These algorithms generate stochastic processes which belong to the class of nonlinear Markov chains interacting with their empirical occupation measures. We develop an original theoretical analysis based on resolvent operators and semigroup techniques to analyze the fluctuations of their occupation measures around their limiting values. © 2011 Elsevier B.V. All rights reserved. |
| first_indexed | 2024-03-07T03:32:31Z |
| format | Journal article |
| id | oxford-uuid:bb3253ab-d659-41b8-86cb-8e90f2b26b82 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T03:32:31Z |
| publishDate | 2012 |
| record_format | dspace |
| spelling | oxford-uuid:bb3253ab-d659-41b8-86cb-8e90f2b26b822022-03-27T05:15:12ZFluctuations of interacting Markov chain Monte Carlo methodsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:bb3253ab-d659-41b8-86cb-8e90f2b26b82EnglishSymplectic Elements at Oxford2012Bercu, BDel Moral, PDoucet, AWe present a multivariate central limit theorem for a general class of interacting Markov chain Monte Carlo algorithms used to solve nonlinear measure-valued equations. These algorithms generate stochastic processes which belong to the class of nonlinear Markov chains interacting with their empirical occupation measures. We develop an original theoretical analysis based on resolvent operators and semigroup techniques to analyze the fluctuations of their occupation measures around their limiting values. © 2011 Elsevier B.V. All rights reserved. |
| spellingShingle | Bercu, B Del Moral, P Doucet, A Fluctuations of interacting Markov chain Monte Carlo methods |
| title | Fluctuations of interacting Markov chain Monte Carlo methods |
| title_full | Fluctuations of interacting Markov chain Monte Carlo methods |
| title_fullStr | Fluctuations of interacting Markov chain Monte Carlo methods |
| title_full_unstemmed | Fluctuations of interacting Markov chain Monte Carlo methods |
| title_short | Fluctuations of interacting Markov chain Monte Carlo methods |
| title_sort | fluctuations of interacting markov chain monte carlo methods |
| work_keys_str_mv | AT bercub fluctuationsofinteractingmarkovchainmontecarlomethods AT delmoralp fluctuationsofinteractingmarkovchainmontecarlomethods AT douceta fluctuationsofinteractingmarkovchainmontecarlomethods |