Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits

DOI10.1017/jpr.2016.9zbMath1345.60082arXiv1411.0712OpenAlexW2427484745MaRDI QIDQ3188572

Jeffrey S. Rosenthal, Gareth O. Roberts

Publication date: 11 August 2016

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

Full work available at URL: https://arxiv.org/abs/1411.0712

zbMATH Keywords

complexitydiffusion limitsMarkov chain Monte Carlo algorithmsrandom walk metropolis algorithmmetropolis-adjusted Langevin algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Point estimation (62F10) Bayesian inference (62F15) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60)

Related Items (9)

Asymptotic analysis of the random walk metropolis algorithm on ridged densities ⋮ A Dirichlet form approach to MCMC optimal scaling ⋮ Reflections on Bayesian inference and Markov chain Monte Carlo ⋮ Complexity results for MCMC derived from quantitative bounds ⋮ Multilevel linear models, Gibbs samplers and multigrid decompositions (with discussion) ⋮ Optimal scaling of random-walk Metropolis algorithms on general target distributions ⋮ Mixing of Hamiltonian Monte Carlo on strongly log-concave distributions: continuous dynamics ⋮ Efficiency of delayed-acceptance random walk metropolis algorithms ⋮ High-dimensional scaling limits of piecewise deterministic sampling algorithms

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