Optimal scaling of Metropolis algorithms: Heading toward general target distributions

DOI10.1002/CJS.5550360401MaRDI QIDQ3626373zbMATH OpenOpenAlexFDO

Authors Jeffrey S. Rosenthal, M. Bédard

Publication date 22 May 2009

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.5550360401

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• Adaptively scaling the Metropolis algorithm using expected squared jumped distance
• Bayesian computation and stochastic systems. With comments and reply.
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• General Irreducible Markov Chains and Non-Negative Operators
• scientific article; zbMATH DE number 472922 (Why is no real title available?)
• Monte Carlo sampling methods using Markov chains and their applications
• On Metropolis-Hastings algorithms with delayed rejection
• Optimal scaling for partially updating MCMC algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(45)

• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Asymptotic analysis of the random walk metropolis algorithm on ridged densities
• A Dirichlet form approach to MCMC optimal scaling
• Optimal scaling of the independence sampler: theory and practice
• Optimal scaling of MaLa for nonlinear regression.
• Efficiency of delayed-acceptance random walk metropolis algorithms
• Large deviations for the empirical measure of the zig-zag process
• Optimal scaling of random walk Metropolis algorithms using Bayesian large-sample asymptotics
• An adaptive multiple-try Metropolis algorithm
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Deterministic and stochastic damage detection via dynamic response analysis
• Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities
• Hierarchical models and tuning of random walk Metropolis algorithms
• Weight-preserving simulated tempering
• Non-stationary phase of the MALA algorithm
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• Minimising MCMC variance via diffusion limits, with an application to simulated tempering
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Scaling analysis of delayed rejection MCMC methods
• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• Adaptive optimal scaling of Metropolis-Hastings algorithms using the Robbins-Monro process
• On the empirical efficiency of local MCMC algorithms with pools of proposals
• Model uncertainty in claims reserving within Tweedie's compound Poisson models
• Optimal proposal distributions and adaptive MCMC
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm
• Optimal metropolis algorithms for product measures on the vertices of a hypercube
• Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability
• Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
• Optimal scaling of the random walk Metropolis: general criteria for the 0.234 acceptance rule
• Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
• Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
• Skew Brownian motion and complexity of the ALPS algorithm
• Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• A large deviation principle for the empirical measures of Metropolis-Hastings chains
• Optimal scaling of MCMC beyond Metropolis
• Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Optimal scaling results for Moreau-Yosida Metropolis-adjusted Langevin algorithms
• Large deviations for independent Metropolis Hastings and Metropolis-adjusted Langevin algorithm
• Optimal scaling for partially updating MCMC algorithms

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