Fluctuations of Interacting Markov Chain Monte Carlo Models
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| dc.contributor.author | BERCU, Bernard | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| hal.structure.identifier | Advanced Learning Evolutionary Algorithms [ALEA] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| hal.structure.identifier | Dept of Statistics & Dept of Computer Science | |
| hal.structure.identifier | Department of Statistics [Vancouver] [UBC Statistics] | |
| dc.contributor.author | DOUCET, Arnaud | |
| dc.date.issued | 2012 | |
| dc.identifier.issn | 0304-4149 | |
| dc.description.abstractEn | We present a functional central limit theorem for a general class of interacting Markov chain Monte Carlo interpretations of discrete generation measure-valued equations. The path space models associated with these stochastic processes 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 fluctuation of their occupation measures around their limiting value. We also present a set of simple regularity conditions that applies to interacting Markov chain Monte Carlo models on path spaces, yielding what seems to be the first fluctuation theorems for this class of self-interacting models. | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title.en | Fluctuations of Interacting Markov Chain Monte Carlo Models | |
| dc.type | Article de revue | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| bordeaux.journal | Stochastic Processes and their Applications | |
| bordeaux.page | 1304-1331 | |
| bordeaux.volume | 122 | |
| bordeaux.issue | 4 | |
| bordeaux.peerReviewed | oui | |
| bordeaux.type.report | rr | |
| hal.identifier | inria-00227536 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//inria-00227536v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic%20Processes%20and%20their%20Applications&rft.date=2012&rft.volume=122&rft.issue=4&rft.spage=1304-1331&rft.epage=1304-1331&rft.eissn=0304-4149&rft.issn=0304-4149&rft.au=BERCU,%20Bernard&DEL%20MORAL,%20Pierre&DOUCET,%20Arnaud&rft.genre=article |
Fichier(s) constituant ce document
| Fichiers | Taille | Format | Vue |
|---|---|---|---|
|
Il n'y a pas de fichiers associés à ce document. |
|||