Scaling analysis of multiple-try MCMC methods

DOI10.1016/J.SPA.2011.11.004MaRDI QIDQ765876zbMATH OpenOpenAlexWikidataFDO

Authors M. Bédard, Randal Douc, Eric Moulines

Publication date 22 March 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2011.11.004

zbMATH Keywords

Markov chain Monte Carlodiffusion limitscaling analysiscorrelated proposalsmultiple proposalsrandom walk metropolis

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05)

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• A guide to Monte Carlo simulations in statistical physics.
• Advanced Markov chain Monte Carlo methods. Learning from past samples.
• Markov-chain monte carlo: Some practical implications of theoretical results
• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• Optimal scaling for various Metropolis-Hastings algorithms.
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

Cited in

(24)

• Scaling analysis of delayed rejection MCMC methods
• Issues in the multiple try Metropolis mixing
• Generating MCMC proposals by randomly rotating the regular simplex
• On the flexibility of the design of multiple try Metropolis schemes
• Efficiency of delayed-acceptance random walk metropolis algorithms
• Designing simple and efficient Markov chain Monte Carlo proposal kernels
• An adaptive multiple-try Metropolis algorithm
• A multiple-try Metropolis-Hastings algorithm with tailored proposals
• Optimal scaling of random walk Metropolis algorithms using Bayesian large-sample asymptotics
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• Convergence rate of multiple-try Metropolis independent sampler
• Optimal scaling of MCMC beyond Metropolis
• Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
• Conditional sequential Monte Carlo in high dimensions
• Weak convergence and optimal tuning of the reversible jump algorithm
• Parallelizing MCMC sampling via space partitioning
• A Dirichlet form approach to MCMC optimal scaling
• Interacting multiple try algorithms with different proposal distributions
• Hierarchical models and tuning of random walk Metropolis algorithms
• On the empirical efficiency of local MCMC algorithms with pools of proposals
• Computing Bayes: from then `til now
• Accelerating MCMC algorithms
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit

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