Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions

DOI10.1214/08-AAP563zbMath1172.60328arXiv0908.0865MaRDI QIDQ2389596

Andrew M. Stuart, Gareth O. Roberts, Alexandros Beskos

Publication date: 17 July 2009

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

Full work available at URL: https://arxiv.org/abs/0908.0865

zbMATH Keywords

LangevindiffusionKarhunen-LoèveGaussian law on Hilbert spaceNavier-Stokes PDErandom-walk Metropolissquared-jump-distance

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

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