MALA with annealed proposals: a generalization of locally and globally balanced proposal distributions

DOI10.1007/S11222-021-10063-1MaRDI QIDQ2066745zbMATH OpenOpenAlexFDO

Authors Gabriel Boisvert-Beaudry, M. Bédard

Publication date 14 January 2022

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-021-10063-1

zbMATH Keywords

Bayesian logistic regressioninformed proposal distributionMarkov chain Monte CarloMetropolis-adjusted Langevin algorithmreversibility

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05)

Recommendations

• Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
• Smoothed Langevin proposals in Metropolis-Hastings algorithms.
• Non-stationary phase of the MALA algorithm
• MALA-within-Gibbs samplers for high-dimensional distributions with sparse conditional structure
• Optimal scaling of MaLa for nonlinear regression.

Cites work

• A note on Metropolis-Hastings kernels for general state spaces
• Equation of state calculations by fast computing machines
• scientific article; zbMATH DE number 784362 (Why is no real title available?)
• scientific article; zbMATH DE number 835699 (Why is no real title available?)
• Informed proposals for local MCMC in discrete spaces
• Monte Carlo sampling methods using Markov chains and their applications
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Optimum Monte-Carlo sampling using Markov chains
• Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(6)

• Smoothed Langevin proposals in Metropolis-Hastings algorithms.
• Hierarchical models: local proposal variances for RWM-within-Gibbs and MALA-within-Gibbs
• Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
• Non-stationary phase of the MALA algorithm
• MALA-within-Gibbs samplers for high-dimensional distributions with sparse conditional structure
• Non-stationary phase of the Metropolis-adjusted Langevin algorithm with annealed proposals

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