Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions

DOI10.1016/J.SPA.2019.03.002zbMATH Open1471.60113OpenAlexW2921885413MaRDI QIDQ2289786FDOQ2289786

Kengo Kamatani

Publication date: 24 January 2020

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

Full work available at URL: https://doi.org/10.1016/j.spa.2019.03.002

Recommendations

• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals

zbMATH Keywords

Markov chainconsistencyMonte CarloStein's methoddiffusion limit

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52)

Cites Work

• Title not available (Why is that?)
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Markov chains for exploring posterior distributions. (With discussion)
• Title not available (Why is that?)
• Geometric ergodicity of Metropolis algorithms
• Title not available (Why is that?)
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Equation of State Calculations by Fast Computing Machines
• Normal Approximation by Stein’s Method
• Title not available (Why is that?)
• Title not available (Why is that?)
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• MCMC methods for functions: modifying old algorithms to make them faster
• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• Optimal tuning of the hybrid Monte Carlo algorithm
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Optimal scaling of MaLa for nonlinear regression.
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
• Practical drift conditions for subgeometric rates of convergence.
• Fast Langevin based algorithm for MCMC in high dimensions
• Local consistency of Markov chain Monte Carlo methods
• Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution

Cited In (1)

• Non-reversible guided Metropolis kernel

This page was built for publication: Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2289786)