281 citations · 462 across the 3 of their papers we have counts for
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math.PR2009★ 107 cited
Optimal scalings for local Metropolis--Hastings chains on nonproduct targets in high dimensions
Alexandros Beskos, Gareth Roberts, Andrew Stuart
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 dim…
math.PR2006★ 281 cited
Exact simulation of diffusions
Alexandros Beskos, Gareth O. Roberts
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applic…