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Paper No. 09-04

Download 09-04

T Marshall and GO Roberts

An ergodicity result for adaptive Langevin algorithms

Date: March 2009

Abstract: We consider a class of adaptiveMCMC algorithms using a Langevin-type proposal density. We prove that these are algorithms are ergodic when the target density has exponential tail behaviour. Unlike previous results, our approach does not require bounding the drift function.