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math.PR2016
A Dirichlet Form approach to MCMC Optimal Scaling
Giacomo Zanella, Wilfrid S. Kendall, Mylène Bédard
This paper develops the use of Dirichlet forms to deliver proofs of optimal scaling results for Markov chain Monte Carlo algorithms (specifically, Metropolis-Hastings random walk s…
math.PR2007★ 64 cited
Weak convergence of Metropolis algorithms for non-i.i.d. target distributions
Mylène Bédard
In this paper, we shall optimize the efficiency of Metropolis algorithms for multidimensional target distributions with scaling terms possibly depending on the dimension. We propos…