Optimal Scaling of Random-Walk Metropolis Algorithms on General Target Distributions

27 April 2019

Papers citing "Optimal Scaling of Random-Walk Metropolis Algorithms on General Target Distributions"

14 / 14 papers shown

Title
New affine invariant ensemble samplers and their dimensional scaling Yifan Chen 81 0 0 05 May 2025
Coupling and Convergence for Hamiltonian Monte Carlo Nawaf Bou-Rabee A. Eberle Raphael Zimmer 88 137 0 01 May 2018
Dimension-Robust MCMC in Bayesian Inverse Problems Victor Chen Matthew M. Dunlop O. Papaspiliopoulos Andrew M. Stuart 47 36 0 09 Mar 2018
Log-concave sampling: Metropolis-Hastings algorithms are fast Raaz Dwivedi Yuansi Chen Martin J. Wainwright Bin Yu 66 253 0 08 Jan 2018
User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient A. Dalalyan Avetik G. Karagulyan 65 296 0 29 Sep 2017
A Dirichlet Form approach to MCMC Optimal Scaling Giacomo Zanella W. Kendall M. Bédard 33 9 0 05 Jun 2016
Optimal scaling of the Random Walk Metropolis algorithm under Lp mean differentiability Alain Durmus Sylvain Le Corff Eric Moulines Gareth O. Roberts OT 26 10 0 22 Apr 2016
MCMC-Based Inference in the Era of Big Data: A Fundamental Analysis of the Convergence Complexity of High-Dimensional Chains B. Rajaratnam Doug Sparks 92 65 0 05 Aug 2015
Theoretical guarantees for approximate sampling from smooth and log-concave densities A. Dalalyan 66 514 0 23 Dec 2014
On the efficiency of pseudo-marginal random walk Metropolis algorithms Chris Sherlock Alexandre Hoang Thiery Gareth O. Roberts Jeffrey S. Rosenthal 55 190 0 27 Sep 2013
MCMC Methods for Functions: Modifying Old Algorithms to Make Them Faster S. Cotter Gareth O. Roberts Andrew M. Stuart D. White 91 480 0 03 Feb 2012
Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions Natesh S. Pillai Andrew M. Stuart Alexandre Hoang Thiery 87 99 0 02 Mar 2011
Diffusion limits of the random walk Metropolis algorithm in high dimensions Jonathan C. Mattingly Natesh S. Pillai Andrew M. Stuart 92 114 0 22 Mar 2010
Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets Chris Sherlock Gareth O. Roberts 72 61 0 04 Sep 2009