Error bounds for Metropolis-Hastings algorithms applied to perturbations of Gaussian measures in high dimensions

DOI10.1214/13-AAP926zbMath1296.60195arXiv1210.1180MaRDI QIDQ2443195

Andreas Eberle

Publication date: 4 April 2014

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

Full work available at URL: https://arxiv.org/abs/1210.1180

zbMATH Keywords

Markov chain Monte CarlocouplingMetropolis algorithmEuler schemeLangevin diffusioncontractivity of Markov kernels

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40)

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