Optimal scaling of random-walk Metropolis algorithms on general target distributions

DOI10.1016/j.spa.2020.05.004zbMath1455.60100arXiv1904.12157OpenAlexW3026366478MaRDI QIDQ2196541

Jeffrey S. Rosenthal, Gareth O. Roberts, Jun Yang

Publication date: 3 September 2020

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

Full work available at URL: https://arxiv.org/abs/1904.12157

zbMATH Keywords

Metropolis algorithms

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05)

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Optimal scaling of random walk Metropolis algorithms using Bayesian large-sample asymptotics, Complexity results for MCMC derived from quantitative bounds, Conditional sequential Monte Carlo in high dimensions, Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler, Optimal scaling of MCMC beyond Metropolis, Ensemble-Based Gradient Inference for Particle Methods in Optimization and Sampling, Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities, Inverse Optimal Transport, Efficiency of delayed-acceptance random walk metropolis algorithms, Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates

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