Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

DOI10.1214/105051607000000096zbMATH Open1144.60016arXiv0710.3684OpenAlexW3100216688MaRDI QIDQ2467602FDOQ2467602

Authors: M. Bédard 

Publication date: 28 January 2008

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

Abstract: In this paper, we shall optimize the efficiency of Metropolis algorithms for multidimensional target distributions with scaling terms possibly depending on the dimension. We propose a method for determining the appropriate form for the scaling of the proposal distribution as a function of the dimension, which leads to the proof of an asymptotic diffusion theorem. We show that when there does not exist any component with a scaling term significantly smaller than the others, the asymptotically optimal acceptance rate is the well-known 0.234.

Full work available at URL: https://arxiv.org/abs/0710.3684

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zbMATH Keywords

Markov chain Monte Carlooptimal scalingMetropolis algorithmweak convergencediffusion

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Central limit and other weak theorems (60F05)

Cites Work

• Weak convergence and optimal scaling of random walk Metropolis algorithms
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• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• From Metropolis to diffusions: Gibbs states and optimal scaling.
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• Optimal scaling for partially updating MCMC algorithms

Cited In (42)

• Scaling analysis of delayed rejection MCMC methods
• Optimal tuning of the hybrid Monte Carlo algorithm
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• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• Efficiency of delayed-acceptance random walk metropolis algorithms
• Asymptotic analysis of the random walk metropolis algorithm on ridged densities
• On the stability of sequential Monte Carlo methods in high dimensions
• Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
• An adaptive multiple-try Metropolis algorithm
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Minimising MCMC variance via diffusion limits, with an application to simulated tempering
• Optimal scaling of random walk Metropolis algorithms using Bayesian large-sample asymptotics
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• A hierarchical Bayesian approach for modeling the evolution of the 7-day moving average of the number of deaths by COVID-19
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• Adaptive Gibbs samplers and related MCMC methods
• The random walk Metropolis: linking theory and practice through a case study
• Optimal scaling for random walk Metropolis on spherically constrained target densities
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• Hierarchical models: local proposal variances for RWM-within-Gibbs and MALA-within-Gibbs
• Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
• Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits
• Bayesian computational methods for estimation of two-parameters Weibull distribution in presence of right-censored data
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
• Scaling analysis of multiple-try MCMC methods
• Weak convergence and optimal tuning of the reversible jump algorithm
• Optimal scaling of the random walk Metropolis: general criteria for the 0.234 acceptance rule
• A Metropolis-class sampler for targets with non-convex support
• A Dirichlet form approach to MCMC optimal scaling
• Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions
• An automatic robust Bayesian approach to principal component regression
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability
• Hierarchical models and tuning of random walk Metropolis algorithms
• Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
• Non-stationary phase of the MALA algorithm
• Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
• Convergence of Metropolis-type algorithms for a large canonical ensemble
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit

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