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This repository is for a group project on Adaptive MCMC for the course MTH707A : Markov Chain Monte Carlo(MCMC) during the academic session 2021-2022 (even semester).

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Adaptive-MCMC

This repository is for a group project for the course MTH707A: Markov Chain Monte Carlo during the academic session 2021-2022 (even semester) at IIT Kanpur.

Group Memebers :

  1. Aritra Majumdar
  2. Arkajyoti Bhattacharjee
  3. Sanket Agrawal

Title :

Adaptive Markov chain Monte Carlo: A Review [Report]

Guide :

Prof. Dootika Vats, Department of Mathematics and Statistics, IIT Kanpur

Abstract:

We briefly review the adaptive Markov chain Monte Carlo techniques using some examples. We also talk about the theoretical properties like stationarity and ergodicity of such algorithms.

Report Outline :

Section Topic
1 Introduction
2 Setup and Notation
3 Examples
  • Adaptive Metropolis algorithm
  • A banana-shaped distribution
  • Adaptive Metropolis within Gibbs algorithm
4 Ergodicity
5 Conclusions

Directory :

  • Code : Contains relevant code for generating plots in the report
  • Plots : Contains plots

Key References:

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This repository is for a group project on Adaptive MCMC for the course MTH707A : Markov Chain Monte Carlo(MCMC) during the academic session 2021-2022 (even semester).

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