Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits

DOI10.1017/jpr.2016.9zbMath1345.60082arXiv1411.0712OpenAlexW2427484745MaRDI QIDQ3188572

Jeffrey S. Rosenthal, Gareth O. Roberts

Publication date: 11 August 2016

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

Full work available at URL: https://arxiv.org/abs/1411.0712

zbMATH Keywords

complexitydiffusion limitsMarkov chain Monte Carlo algorithmsrandom walk metropolis algorithmmetropolis-adjusted Langevin algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Point estimation (62F10) Bayesian inference (62F15) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60)

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