Optimal scaling for random walk Metropolis on spherically constrained target densities

DOI10.1007/S11009-007-9046-2zbMath1141.60316OpenAlexW2153793762MaRDI QIDQ931379

Gareth O. Roberts, Peter Neal

Publication date: 25 June 2008

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://eprints.maths.manchester.ac.uk/676/1/hypersphere_191206_submit.pdf

zbMATH Keywords

Markov chain Monte CarloOptimal scalingRandom walk Metropolis algorithmSpherical distributions

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

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• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Optimal Scaling of Discrete Approximations to Langevin Diffusions

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