From Metropolis to diffusions: Gibbs states and optimal scaling.
DOI10.1016/S0304-4149(00)00041-7zbMATH Open1047.60065OpenAlexW1977224304WikidataQ126550807 ScholiaQ126550807MaRDI QIDQ1879490FDOQ1879490
Authors: Gareth O. Roberts, Laird Breyer 
Publication date: 22 September 2004
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(00)00041-7
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Cites Work
- Mixing: Properties and examples
- Weak convergence and optimal scaling of random walk Metropolis algorithms
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- Title not available (Why is that?)
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- Ergodicity for Infinite Dimensional Systems
- Gibbs measures and phase transitions
- Computational complexity of Markov chain Monte Carlo methods for finite Markov random fields
- Ergodic theorems for subadditive spatial processes
Cited In (28)
- Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
- Optimal scaling for various Metropolis-Hastings algorithms.
- Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
- On the stability of sequential Monte Carlo methods in high dimensions
- Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
- An adaptive multiple-try Metropolis algorithm
- Diffusion limits of the random walk Metropolis algorithm in high dimensions
- Bayesian International Evidence on Heavy Tails, Non-Stationarity and Asymmetry over the Business Cycle
- Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
- Optimal scaling of random-walk Metropolis algorithms on general target distributions
- Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
- Optimal scaling for random walk Metropolis on spherically constrained target densities
- On the efficiency of pseudo-marginal random walk Metropolis algorithms
- Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
- Bayesian analysis of the multivariate poisson distribution
- Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
- Optimal scaling of MaLa for nonlinear regression.
- Optimal scaling of the random walk Metropolis: general criteria for the 0.234 acceptance rule
- A Dirichlet form approach to MCMC optimal scaling
- Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions
- Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
- Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
- Optimal scaling of the random walk Metropolis algorithm under Lp mean differentiability
- Random walks in the high-dimensional limit. I: The Wiener spiral.
- Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
- Optimal scaling for partially updating MCMC algorithms
- Optimal scaling of Metropolis algorithms: Heading toward general target distributions
- Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
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