Optimal scaling of random-walk Metropolis algorithms on general target distributions

DOI10.1016/j.spa.2020.05.004zbMath1455.60100arXiv1904.12157OpenAlexW3026366478MaRDI QIDQ2196541

Jeffrey S. Rosenthal, Gareth O. Roberts, Jun Yang

Publication date: 3 September 2020

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

Full work available at URL: https://arxiv.org/abs/1904.12157

zbMATH Keywords

Metropolis algorithms

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05)

Related Items (10)

Optimal scaling of random walk Metropolis algorithms using Bayesian large-sample asymptotics ⋮ Complexity results for MCMC derived from quantitative bounds ⋮ Conditional sequential Monte Carlo in high dimensions ⋮ Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler ⋮ Optimal scaling of MCMC beyond Metropolis ⋮ Ensemble-Based Gradient Inference for Particle Methods in Optimization and Sampling ⋮ Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities ⋮ Inverse Optimal Transport ⋮ Efficiency of delayed-acceptance random walk metropolis algorithms ⋮ Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates

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