Abstract #300413

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JSM 2002 Abstract #300413
Activity Number: 26
Type: Invited
Date/Time: Sunday, August 11, 2002 : 4:00 PM to 5:50 PM
Sponsor: IMS
Abstract - #300413
Title: Self-Targeting Candidates for MCMC Algorithms
Author(s): Osnat Stramer*+
Affiliation(s): University of Iowa
Address: 372 Schaeffer Hall, Iowa City, Iowa, 52242,
Keywords: MCMC algorithms ; Langevin diffusions ; Geometric convergence
Abstract:

Work on the area of discrete and continuous time Markov chains was one of the primary focuses of Richard Tweedie in his last few years. This led to a number of new results on convergence properties of MCMC methods. One of the new results was developed by Roberts and Tweedie (1996) and is concerned with rates of convergence for Langevin diffusion algorithms with constant volatility.

The talk will present a wider class of Langevin diffusion algorithms with state-dependent volatility and show that these new algorithms produce Metropolis-Hastings algorithms with convergence rates that in some cases appear to be better than those known for the traditional Langevin diffusion algorithm. The results presented are based on joint work with Tweedie (1999) and Roberts (2001).

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