  We propose Adaptive Incremental Mixture Markov chain Monte Carlo (AIMM), a
novel approach to sample from challenging probability distributions defined on
a general state-space. While adaptive MCMC methods usually update a parametric
proposal kernel with a global rule, AIMM locally adapts a semiparametric
kernel. AIMM is based on an independent Metropolis-Hastings proposal
distribution which takes the form of a finite mixture of Gaussian
distributions. Central to this approach is the idea that the proposal
distribution adapts to the target by locally adding a mixture component when
the discrepancy between the proposal mixture and the target is deemed to be too
large. As a result, the number of components in the mixture proposal is not
fixed in advance. Theoretically, we prove that there exists a process that can
be made arbitrarily close to AIMM and that converges to the correct target
distribution. We also illustrate that it performs well in practice in a variety
of challenging situations, including high-dimensional and multimodal target
distributions.
