From Metropolis to diffusions: Gibbs states and optimal scaling.

DOI10.1016/S0304-4149(00)00041-7MaRDI QIDQ1879490zbMATH OpenOpenAlexWikidataFDO

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

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05)

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Cites work

scientific article; zbMATH DE number 3951715 (Why is no real title available?)
scientific article; zbMATH DE number 472921 (Why is no real title available?)
scientific article; zbMATH DE number 741240 (Why is no real title available?)
Computational complexity of Markov chain Monte Carlo methods for finite Markov random fields
Ergodic theorems for subadditive spatial processes
Ergodicity for Infinite Dimensional Systems
Gibbs measures and phase transitions
Mixing: Properties and examples
Weak convergence and optimal scaling of random walk Metropolis algorithms

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
Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
On the stability of sequential Monte Carlo methods in high dimensions
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 L^p mean differentiability
Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
Random walks in the high-dimensional limit. I: The Wiener spiral.
Optimal scaling for partially updating MCMC algorithms
Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
Optimal scaling of Metropolis algorithms: Heading toward general target distributions

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