Scaling analysis of multiple-try MCMC methods

DOI10.1016/J.SPA.2011.11.004zbMath1239.60075OpenAlexW2038604769WikidataQ60361999 ScholiaQ60361999MaRDI QIDQ765876

Mylène Bédard, Randal Douc, Eric Moulines

Publication date: 22 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.11.004

zbMATH Keywords

Markov chain Monte Carloscaling analysisdiffusion limitcorrelated proposalsmultiple proposalsrandom walk metropolis

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (21)

Issues in the multiple try Metropolis mixing ⋮ Optimal scaling of random walk Metropolis algorithms using Bayesian large-sample asymptotics ⋮ Designing simple and efficient Markov chain Monte Carlo proposal kernels ⋮ An adaptive multiple-try Metropolis algorithm ⋮ Parallelizing MCMC sampling via space partitioning ⋮ A Dirichlet form approach to MCMC optimal scaling ⋮ Conditional sequential Monte Carlo in high dimensions ⋮ Optimal scaling of random-walk Metropolis algorithms on general target distributions ⋮ Convergence rate of multiple-try Metropolis independent sampler ⋮ Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior ⋮ Weak convergence and optimal tuning of the reversible jump algorithm ⋮ On the flexibility of the design of multiple try Metropolis schemes ⋮ Hierarchical models and tuning of random walk Metropolis algorithms ⋮ Bayesian computation: a summary of the current state, and samples backwards and forwards ⋮ Scaling analysis of delayed rejection MCMC methods ⋮ Interacting multiple try algorithms with different proposal distributions ⋮ Efficiency of delayed-acceptance random walk metropolis algorithms ⋮ A multiple-try Metropolis-Hastings algorithm with tailored proposals ⋮ On the empirical efficiency of local MCMC algorithms with pools of proposals ⋮ Generating MCMC proposals by randomly rotating the regular simplex ⋮ Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit

Cites Work

• Unnamed Item
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• Advanced Markov Chain Monte Carlo Methods
• Markov-chain monte carlo: Some practical implications of theoretical results
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• A Guide to Monte Carlo Simulations in Statistical Physics

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