Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals

DOI10.1007/S11009-010-9176-9MaRDI QIDQ655925zbMATHOpenAlexFDO

Authors Peter Neal, Gareth O. Roberts

Publication date 26 January 2012

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-010-9176-9

zbMATH Keywords

MCMCoptimal scalingheavy-tailed distributionsMarkov Chain Monte CarloCauchy distribution spherical distributionsRandom Walk MetropolisRWM

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Discrete-time Markov processes on general state spaces (60J05)

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Cites work

• scientific article; zbMATH DE number 5520724 (Why is no real title available?)
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Optimal scaling for partially updating MCMC algorithms
• Optimal scaling for random walk Metropolis on spherically constrained target densities
• Optimal scaling for various Metropolis-Hastings algorithms.
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

Cited in

(12)

• Conditional sequential Monte Carlo in high dimensions
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
• Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• Optimal scaling for random walk Metropolis on spherically constrained target densities
• Optimal scaling of MCMC beyond Metropolis
• A brief review of optimal scaling of the main MCMC approaches and optimal scaling of additive TMCMC under non-regular cases
• Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits
• Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities
• Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities

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