Minimising MCMC variance via diffusion limits, with an application to simulated tempering

DOI10.1214/12-AAP918zbMath1298.60078arXiv1401.3559MaRDI QIDQ2443188

Jeffrey S. Rosenthal, Gareth O. Roberts

Publication date: 4 April 2014

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

Full work available at URL: https://arxiv.org/abs/1401.3559

zbMATH Keywords

Markov chain Monte Carlooptimal scalingdiffusion limitssimulated tempering

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (18)

Asymptotic analysis of the random walk metropolis algorithm on ridged densities ⋮ Jump Markov chains and rejection-free Metropolis algorithms ⋮ Unnamed Item ⋮ Spectral gap of replica exchange Langevin diffusion on mixture distributions ⋮ Constructing optimal transition matrix for Markov chain Monte Carlo ⋮ Optimal scaling of random-walk Metropolis algorithms on general target distributions ⋮ Variational principles for asymptotic variance of general Markov processes ⋮ Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability ⋮ State-dependent swap strategies and automatic reduction of number of temperatures in adaptive parallel tempering algorithm ⋮ Accelerating parallel tempering: Quantile tempering algorithm (QuanTA) ⋮ Bayesian computation: a summary of the current state, and samples backwards and forwards ⋮ Accelerating MCMC algorithms ⋮ Weight-preserving simulated tempering ⋮ Peskun-Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario ⋮ Efficiency of delayed-acceptance random walk metropolis algorithms ⋮ The simulated tempering method in the infinite switch limit with adaptive weight learning ⋮ On the efficiency of pseudo-marginal random walk Metropolis algorithms ⋮ Skew brownian motion and complexity of the alps algorithm

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