Diffusion limits of the random walk Metropolis algorithm in high dimensions
DOI10.1214/10-AAP754zbMath1254.60081arXiv1003.4306MaRDI QIDQ433896
Natesh S. Pillai, Andrew M. Stuart, Jonathan C. Mattingly
Publication date: 8 July 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.4306
Markov chain Monte Carlo; stochastic partial differential equations; scaling limits; optimal convergence; convergence time; difffusion limit; random walk Metropolis-Hastings
60J22: Computational methods in Markov chains
60F05: Central limit and other weak theorems
65C05: Monte Carlo methods
60J05: Discrete-time Markov processes on general state spaces
65C40: Numerical analysis or methods applied to Markov chains
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
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