Optimal scaling for partially updating MCMC algorithms

DOI10.1214/105051605000000791zbMATH Open1127.60021arXivmath/0607054OpenAlexW2088198131MaRDI QIDQ997939FDOQ997939

Gareth O. Roberts, Peter Neal

Publication date: 8 August 2007

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

Abstract: In this paper we shall consider optimal scaling problems for high-dimensional Metropolis--Hastings algorithms where updates can be chosen to be lower dimensional than the target density itself. We find that the optimal scaling rule for the Metropolis algorithm, which tunes the overall algorithm acceptance rate to be 0.234, holds for the so-called Metropolis-within-Gibbs algorithm as well. Furthermore, the optimal efficiency obtainable is independent of the dimensionality of the update rule. This has important implications for the MCMC practitioner since high-dimensional updates are generally computationally more demanding, so that lower-dimensional updates are therefore to be preferred. Similar results with rather different conclusions are given for so-called Langevin updates. In this case, it is found that high-dimensional updates are frequently most efficient, even taking into account computing costs.

Full work available at URL: https://arxiv.org/abs/math/0607054

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zbMATH Keywords

Markov chain Monte CarloMetropolis algorithmweak convergenceLangevin algorithm

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)

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Cited In (24)

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• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
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• Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
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• Bayesian Variable Selections for Probit Models with Componentwise Gibbs Samplers

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