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

DOI10.1016/J.SPA.2020.05.004MaRDI QIDQ2196541zbMATH OpenOpenAlexFDO

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

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)

Abstract: One main limitation of the existing optimal scaling results for Metropolis--Hastings algorithms is that the assumptions on the target distribution are unrealistic. In this paper, we consider optimal scaling of random-walk Metropolis algorithms on general target distributions in high dimensions arising from practical MCMC models from Bayesian statistics. For optimal scaling by maximizing expected squared jumping distance (ESJD), we show the asymptotically optimal acceptance rate $0.234$ can be obtained under general realistic sufficient conditions on the target distribution. The new sufficient conditions are easy to be verified and may hold for some general classes of MCMC models arising from Bayesian statistics applications, which substantially generalize the product i.i.d. condition required in most existing literature of optimal scaling. Furthermore, we show one-dimensional diffusion limits can be obtained under slightly stronger conditions, which still allow dependent coordinates of the target distribution. We also connect the new diffusion limit results to complexity bounds of Metropolis algorithms in high dimensions.

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Cited in

(24)

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• Optimal scaling results for Moreau-Yosida Metropolis-adjusted Langevin algorithms
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