Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit

DOI10.1214/14-AAP1048zbMath1329.60262arXiv1210.7639MaRDI QIDQ2354897

Błażej Miasojedow, Benjamin Jourdain, Tony Lelièvre

Publication date: 27 July 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.7639

zbMATH Keywords

propagation of chaosmean-field limitrandom walk Metropolis algorithmoptimal scalingdiffusion limits

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Exchangeability for stochastic processes (60G09)

Related Items (15)

Derivative-Free Bayesian Inversion Using Multiscale Dynamics ⋮ Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits ⋮ Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets ⋮ Optimal scaling of random-walk Metropolis algorithms on general target distributions ⋮ Singular relaxation of a random walk in a box with a Metropolis Monte Carlo dynamics ⋮ Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior ⋮ Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities ⋮ Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability ⋮ Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation ⋮ Bayesian computation: a summary of the current state, and samples backwards and forwards ⋮ Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions ⋮ Non-stationary phase of the MALA algorithm ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ Diffusion limit for the random walk Metropolis algorithm out of stationarity ⋮ Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation

Cites Work

• 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
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Scaling analysis of multiple-try MCMC methods
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Optimal scaling for various Metropolis-Hastings algorithms.
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Optimal scaling of MaLa for nonlinear regression.
• Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• Optimal tuning of the hybrid Monte Carlo algorithm
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Scaling analysis of delayed rejection MCMC methods
• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• 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
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit