Optimal Scalings for Local Metropolis–hastings Chains on Nonproduct Targets in High Dimensions1 by Alexandros Beskos,
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منابع مشابه
OPTIMAL SCALINGS FOR LOCAL METROPOLIS–HASTINGS CHAINS ON NONPRODUCT TARGETS IN HIGH DIMENSIONS By Alexandros Beskos,
We investigate local MCMC algorithms, namely the random-walk Metropolis and the Langevin algorithms, and identify the optimal choice of the local step-size as a function of the dimension n of the state space, asymptotically as n→∞. We consider target distributions defined as a change of measure from a product law. Such structures arise, for instance, in inverse problems or Bayesian contexts whe...
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تاریخ انتشار 2011