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

zbMATH Keywords

Markov chain Monte Carlo; stochastic partial differential equations; scaling limits; optimal convergence; convergence time; difffusion limit; random walk Metropolis-Hastings

Mathematics Subject Classification ID

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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