On the Convergence Rates of Some Adaptive Markov Chain Monte Carlo Algorithms

Yves Atchadé, Yizao Wang

Published 2012-07-29, updated 2014-07-28Version 2

This paper studies the mixing time of certain adaptive Markov Chain Monte Carlo algorithms. Under some regularity conditions, we show that the convergence rate of Importance Resampling MCMC (IRMCMC) algorithm, measured in terms of the total variation distance is $O(n^{-1})$, and by means of an example, we establish that in general, this algorithm does not converge at a faster rate. We also study the Equi-Energy sampler and establish that its mixing time is of order $O(n^{-1/2})$.