Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234

DOI10.1016/j.spa.2007.12.005zbMath1155.60310OpenAlexW2084668838MaRDI QIDQ2518614

Mylène Bédard

Publication date: 16 January 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.12.005

zbMATH Keywords

generatorweak convergenceMarkov chain Monte Carlooptimal scalingLangevin diffusion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

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• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Optimum Monte-Carlo sampling using Markov chains
• Equation of State Calculations by Fast Computing Machines
• Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
• Monte Carlo sampling methods using Markov chains and their applications

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