Optimal scaling of the random walk Metropolis algorithm under Lp mean differentiability
نویسندگان
چکیده
منابع مشابه
Optimal Scaling of the Random Walk Metropolis: General Criteria for the 0.234 Acceptance Rule
The RWM algorithm creates a Markov chain with stationary distribution π(x), and hence (eventually) a dependent sample with distribution ≈ π(x). Given the current value X ∈ R, a new value X∗ = X + Y is proposed by sampling a “jump”, Y, from from a pre-specified Lebesgue density q (y|x) = λ−d r (y/λ) , where r (−y) = r (y); the proposal is then accepted with probability α(x,y) = 1 ∧ (π(x∗)/π(x))....
متن کاملOn the Robustness of Optimal Scaling for Random Walk Metropolis Algorithms
In this thesis, we study the optimal scaling problem for sampling from a target distribution of interest using a random walk Metropolis (RWM) algorithm. In order to implement this method, the selection of a proposal distribution is required, which is assumed to be a multivariate normal distribution with independent components. We investigate how the proposal scaling (i.e. the variance of the no...
متن کاملOptimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
Scaling of proposals for Metropolis algorithms is an important practical problem in MCMC implementation. Criteria for scaling based on empirical acceptance rates of algorithms have been found to work consistently well across a broad range of problems. Essentially, proposal jump sizes are increased when acceptance rates are high and decreased when rates are low. In recent years, considerable the...
متن کاملOn the Optimal Scaling of the Modified Metropolis-Hastings algorithm
Estimation of small failure probabilities is one of the most important and challenging problems in reliability engineering. In cases of practical interest, the failure probability is given by a high-dimensional integral. Since multivariate integration suffers from the curse of dimensionality, the usual numerical methods are inapplicable. Over the past decade, the civil engineering research comm...
متن کاملMethodology for inference on the Markov modulated Poisson process and theory for optimal scaling of the random walk Metropolis
Two distinct strands of research are developed: new methodology for inference on the Markov modulated Poisson process (MMPP), and new theory on optimal scaling for the random walk Metropolis (RWM). A novel technique is presented for simulating from the exact distribution of a continuous time Markov chain over an interval given the start and end states and the infinitesimal generator. This is us...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2017
ISSN: 0021-9002,1475-6072
DOI: 10.1017/jpr.2017.61