Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets

DOI10.3150/08-BEJ176zbMath1215.60047arXiv0909.0856OpenAlexW2119516689WikidataQ61434495 ScholiaQ61434495MaRDI QIDQ605022

Gareth O. Roberts, Chris Sherlock

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.0856

zbMATH Keywords

optimal scalingrandom walk Metropolisoptimal acceptance rate

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

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• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Optimal metropolis algorithms for product measures on the vertices of a hypercube

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