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

consistencydiffusion limitMarkov chainMonte CarloStein's method

Mathematics Subject Classification ID

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

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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• 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
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• Optimal tuning of the hybrid Monte Carlo algorithm
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• 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)

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

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