Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit

DOI10.1214/14-AAP1048zbMath1329.60262arXiv1210.7639MaRDI QIDQ2354897

Błażej Miasojedow, Benjamin Jourdain, Tony Lelièvre

Publication date: 27 July 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.7639

zbMATH Keywords

propagation of chaosmean-field limitrandom walk Metropolis algorithmoptimal scalingdiffusion limits

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Exchangeability for stochastic processes (60G09)

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