Optimal Scaling Results for a Wide Class of Proximal MALA Algorithms

MaRDI QIDQ6422732zbMATH OpenFDO

Authors Francesca R. Crucinio, Alain Durmus, P. Jiménez, Gareth O. Roberts

Publication date 6 January 2023

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

Abstract: We consider a recently proposed class of MCMC methods which uses proximity maps instead of gradients to build proposal mechanisms which can be employed for both differentiable and non-differentiable targets. These methods have been shown to be stable for a wide class of targets, making them a valuable alternative to Metropolis-adjusted Langevin algorithms (MALA); and have found wide application in imaging contexts. The wider stability properties are obtained by building the Moreau-Yoshida envelope for the target of interest, which depends on a parameter $lambda$. In this work, we investigate the optimal scaling problem for this class of algorithms, which encompasses MALA, and provide practical guidelines for the implementation of these methods.

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