Diffusion limit for the random walk Metropolis algorithm out of stationarity

DOI10.1214/18-AIHP929zbMath1467.60056arXiv1405.4896OpenAlexW2963398636MaRDI QIDQ2337836

Andrew M. Stuart, Michela Ottobre, Juan Kuntz

Publication date: 20 November 2019

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.4896

zbMATH Keywords

Markov chain Monte Carlorandom walk Metropolis algorithmoptimal scalingdiffusion limit

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (8)

Proximal Markov chain Monte Carlo algorithms ⋮ Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets ⋮ Optimal scaling of random-walk Metropolis algorithms on general target distributions ⋮ Optimal scaling of MCMC beyond Metropolis ⋮ Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities ⋮ Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes ⋮ Analysis of stochastic gradient descent in continuous time ⋮ Non-stationary phase of the MALA algorithm

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