Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation

DOI10.1017/apr.2019.40zbMath1427.60146arXiv1707.08510OpenAlexW2984713686WikidataQ126808212 ScholiaQ126808212MaRDI QIDQ5203974

Jure Vogrinc, Aleksandar Mijatović

Publication date: 9 December 2019

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

Full work available at URL: https://arxiv.org/abs/1707.08510

zbMATH Keywords

asymptotic variancelarge deviationsvariance reductionBerry-Esseen boundoptimal Young's inequalityPoisson equation for diffusionsscaling limits of Metropolis-Hastings chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Large deviations (60F10) Transition functions, generators and resolvents (60J35)

Related Items (5)

A Riemann-Stein kernel method ⋮ Matrix-Analytic Methods for Solving Poisson’s Equation with Applications to Markov Chains of GI/G/1-Type ⋮ Convergence rates for a class of estimators based on Stein's method ⋮ Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities ⋮ Variance reduction for Metropolis-Hastings samplers

Cites Work

• Variance reduction using nonreversible Langevin samplers
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Zero variance differential geometric Markov chain Monte Carlo algorithms
• Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Geometric ergodicity and hybrid Markov chains
• Optimal Young's inequality and its converse: A simple proof
• Optimal scaling for various Metropolis-Hastings algorithms.
• Geometric ergodicity of Metropolis algorithms
• Fast Langevin based algorithm for MCMC in high dimensions
• On the Poisson equation for Metropolis-Hastings chains
• Markov chains for exploring posterior distributions. (With discussion)
• Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
• A piecewise deterministic scaling limit of lifted Metropolis-Hastings in the Curie-Weiss model
• 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
• Optimal tuning of the hybrid Monte Carlo algorithm
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Handbook of Markov Chain Monte Carlo
• Optimal scaling of Metropolis algorithms: Heading toward general target distributions
• Markov Chains and Stochastic Stability
• Probability with Martingales
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Moderate Deviations for I.I.D. Random Variables
• Control Variates for Estimation Based on Reversible Markov Chain Monte Carlo Samplers
• Control Techniques for Complex Networks
• Control Functionals for Monte Carlo Integration
• Series approximation methods in statistics.

This page was built for publication: Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation