Non-stationary phase of the MALA algorithm

DOI10.1007/s40072-018-0113-1zbMath1415.60091arXiv1608.08379OpenAlexW2963858858WikidataQ59767470 ScholiaQ59767470MaRDI QIDQ2315120

Juan Kuntz, Michela Ottobre, Andrew M. Stuart

Publication date: 31 July 2019

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.08379

zbMATH Keywords

Markov chain Monte Carlooptimal scalingdiffusion limitmetropolis-adjusted Langevin algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items

Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets, Optimal scaling of random-walk Metropolis algorithms on general target distributions, Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities, Diffusion limit for the random walk Metropolis algorithm out of stationarity

Cites Work

• Unnamed Item
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
• Noisy gradient flow from a random walk in Hilbert space
• A note on Metropolis-Hastings kernels for general state spaces
• Exponential convergence of Langevin distributions and their discrete approximations
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Geometric MCMC for infinite-dimensional inverse problems
• Optimal scaling of MaLa for nonlinear regression.
• Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
• Diffusion limit for the random walk Metropolis algorithm out of stationarity
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Analysis of SPDEs arising in path sampling. II: The nonlinear case
• Analysis of SPDEs arising in path sampling. I: The Gaussian case
• Inverse problems: A Bayesian perspective
• MCMC METHODS FOR DIFFUSION BRIDGES
• Optimal scaling of Metropolis algorithms: Heading toward general target distributions
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
• Monte Carlo sampling methods using Markov chains and their applications
• MCMC methods for functions: modifying old algorithms to make them faster
• Stochastic Equations in Infinite Dimensions