Optimal scaling of the random walk Metropolis algorithm under Lp mean differentiability

DOI10.1017/jpr.2017.61zbMath1401.65007arXiv1604.06664MaRDI QIDQ4684918

Gareth O. Roberts, Sylvain Le Corff, Alain Durmus, Eric Moulines

Publication date: 26 September 2018

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

Full work available at URL: https://arxiv.org/abs/1604.06664

zbMATH Keywords

Markov chain Monte Carlo; optimal scaling; random walk Metropolis; \(L^p\) mean differentiability

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

65C05: Monte Carlo methods

Related Items

Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Asymptotic methods in statistical decision theory
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Singular stochastic differential equations.
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• Minimising MCMC variance via diffusion limits, with an application to simulated tempering
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• Optimal scaling of Metropolis algorithms: Heading toward general target distributions
• Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability
• Equation of State Calculations by Fast Computing Machines