Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo

DOI10.1007/s11222-010-9192-1zbMath1223.65001OpenAlexW2146960149MaRDI QIDQ637987

Yves F. Atchadé, Gareth O. Roberts, Jeffrey S. Rosenthal

Publication date: 8 September 2011

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-010-9192-1

zbMATH Keywords

Monte Carlo algorithmMarkov chainrandom walkMetropolis-Hastings algorithmoptimal scalingsimulated tempering

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

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• Sufficient conditions for torpid mixing of parallel and simulated tempering
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• An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
• On swapping and simulated tempering algorithms.
• Delayed rejection in reversible jump Metropolis-Hastings
• Does Waste Recycling Really Improve the Multi-Proposal Metropolis–Hastings algorithm? an Analysis Based on Control Variates
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• On the swapping algorithm
• Analysis of parallel replicated simulations under a completion time constraint
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Monte Carlo sampling methods using Markov chains and their applications
• A Stochastic Approximation Method

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