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stat.CO2026
High-dimensional Adaptive MCMC with Reduced Computational Complexity
Max Hird, Samuel Livingstone
We propose an adaptive MCMC method that learns a linear preconditioner which is dense in its off-diagonal elements but sparse in its parametrisation. Due to this sparsity, we achie…
stat.CO2026
A note on diffusive/random-walk behaviour in Metropolis--Hastings algorithms
Yuxin Liu, Peiyi Zhou, Samuel Livingstone
We prove a general result that if a Metropolis--Hastings algorithm has a proposal that is not geometrically ergodic and the acceptance rate approaches unity at a suitable rate as t…