Anthony E. Brockwell and Joseph B. Kadane
Regeneration is a useful tool in Markov chain Monte Carlo simulation, since it can be used to side-step the burn-in problem and to construct better estimates of the variance of parameter estimates themselves. It also provides a simple way to introduce adaptive behaviour into a Markov chain, and to use parallel processors to build a single chain. Regeneration is often difficult to take advantage of, since for most chains, no recurrent proper atom exists, and it is not always easy to use Nummelin's splitting method to identify regeneration times. This paper describes a constructive method for generating a Markov chain with a specified target distribution and identifying regeneration times. As a special case of the method, an algorithm which can be ``wrapped'' around an existing Markov transition kernel is given. In addition, a specific rule for adapting the transition kernel at regeneration times is introduced, which gradually replaces the original transition kernel with an independence-sampling Metropolis-Hastings kernel using a mixture normal approximation to the target density as its proposal density. Computational gains for the regenerative adaptive algorithm are demonstrated in examples.