Optimal scaling for partially updating MCMC algorithms

DOI10.1214/105051605000000791MaRDI QIDQ997939zbMATH OpenOpenAlexFDO

Authors Peter Neal, Gareth O. Roberts

Publication date 8 August 2007

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

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

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)

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.

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Cited in

(25)

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