Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions

DOI10.1016/J.SPA.2019.03.002MaRDI QIDQ2289786zbMATH OpenOpenAlexFDO

Authors Kengo Kamatani

Publication date 24 January 2020

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

Full work available at URL https://doi.org/10.1016/j.spa.2019.03.002

zbMATH Keywords

Markov chainconsistencyMonte CarloStein's methoddiffusion limit

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52)

Recommendations

• Diffusion limits of the random walk Metropolis algorithm in high dimensions
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• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals

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• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution
• Equation of state calculations by fast computing machines
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• Markov chains for exploring posterior distributions. (With discussion)
• Normal Approximation by Stein’s Method
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• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit
• Optimal scaling of MaLa for nonlinear regression.
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• Optimal tuning of the hybrid Monte Carlo algorithm
• Practical drift conditions for subgeometric rates of convergence.
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

Cited in

(5)

• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Fast Langevin based algorithm for MCMC in high dimensions
• A Metropolis-class sampler for targets with non-convex support
• Non-reversible guided Metropolis kernel
• Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation

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