Scaling analysis of delayed rejection MCMC methods

DOI10.1007/S11009-013-9326-YMaRDI QIDQ2513657zbMATH OpenOpenAlexFDO

Authors M. Bédard, Randal Douc, Eric Moulines

Publication date 28 January 2015

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-013-9326-y

zbMATH Keywords

asymptotic efficiencycorrelated proposalsdelayed rejection strategydiffusionMarkov chain Monte Carlo (MCMC) methodMetropolis-Hastings algorithmmultiple proposalsnumerical examplesrandom walk Metropolisscalingweak convergence

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Complexity and performance of numerical algorithms (65Y20)

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Cites work

• Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
• Delayed rejection in reversible jump Metropolis-Hastings.
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Estimating the parameters of gravitational waves from neutron stars using an adaptive MCMC method
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• Markov-chain monte carlo: Some practical implications of theoretical results
• On Metropolis-Hastings algorithms with delayed rejection
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal scaling of Metropolis algorithms: Heading toward general target distributions
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• Ordering and improving the performance of Monte Carlo Markov chains.
• Scaling analysis of multiple-try MCMC methods
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Weak convergence of Markov chain sampling methods and annealing algorithms to diffusions
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

Cited in

(13)

• On Metropolis-Hastings algorithms with delayed rejection
• Designing simple and efficient Markov chain Monte Carlo proposal kernels
• Hierarchical models: local proposal variances for RWM-within-Gibbs and MALA-within-Gibbs
• Efficiency of delayed-acceptance random walk metropolis algorithms
• An adaptive multiple-try Metropolis algorithm
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• On the empirical efficiency of local MCMC algorithms with pools of proposals
• Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
• Equation-solving estimator based on the general n-step MHDR algorithm
• Equation-solving estimator based on Metropolis-Hastings algorithm with delayed rejection
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• Delayed rejection Hamiltonian Monte Carlo for sampling multiscale distributions
• Scaling analysis of multiple-try MCMC methods

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