References
- Haario , H. , Saksman , E. and Tamminen , J. 2001 . An adaptive metropolis algorithm . Bernoulli , 7 ( 2 ) : 223 – 242 .
- Cappe , O. , Guillin , A. , Marin , J. M. and Robert , C. P. 2004 . Population monte carlo . J. Comput. Graph. Statist. , 13 ( 4 ) : 907 – 929 .
- Douc , R. , Guillin , A. , Marin , J. M. and Robert , C. P. 2007 . Convergence of adaptive mixtures of importance sampling schemes . Ann. Statist. , 35 ( 1 ) : 420 – 448 .
- Cappe , O. , Douc , R. , Guillin , A. , Marin , J. M. and Robert , C. P. 2008 . Adaptive importance sampling in general mixture classes . Statist. Comput. , 18 ( 4 ) : 447 – 459 .
- Arouna , B. 2004 . Adaptative Monte Carlo method, a variance reduction technique . Monte Carlo Meth. Appl. , 10 ( 1 ) : 1 – 24 .
- Delyon , B. , Lavielle , V. and Moulines , E. 1999 . Convergence of a stochastic approximation version of the em algorithm . Ann. Statist. , 27 ( 1 ) : 94 – 128 .
- Jaakkola , T. , Jordan , M. I. and Singh , S. P. 1994 . On the convergence of stochastic iterative dynamic-programming algorithms . Neural Comput. , 6 ( 6 ) : 1185 – 1201 .
- Kushner , H. J. and Yin , G. 1997 . Stochastic Approximation Algorithms and Applications. Applications of Mathematics , New York : Springer .
- Tsitsiklis , J. N. 1994 . Asynchronous stochastic-approximation and q-learning . Mach. Learn. , 16 ( 3 ) : 185 – 202 .
- Andrieu , C. , Moulines , E. and Priouret , P. 2005 . Stability of stochastic approximation under verifiable conditions . SIAM J. Control Optim. , 44 ( 1 ) : 283 – 312 .