A Dirichlet form approach to MCMC optimal scaling

DOI10.1016/j.spa.2017.03.021zbMath1374.60030arXiv1606.01528OpenAlexW2963732738MaRDI QIDQ1679476

Giacomo Zanella, Mylène Bédard, Wilfrid S. Kendall

Publication date: 9 November 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.01528

zbMATH Keywords

weak convergenceMosco convergenceDirichlet formMarkov chain Monte Carlo (MCMC)scaling limitsoptimal scalinginfinite-dimensional stochastic processesasymptotic analysis for MCMCMetropolis-Hastings random walk sampler

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

Related Items (5)

Optimal scaling of random-walk Metropolis algorithms on general target distributions ⋮ Optimal scaling of MCMC beyond Metropolis ⋮ Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting) ⋮ Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities ⋮ Efficiency of delayed-acceptance random walk metropolis algorithms

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