4 citations · 10 across the 7 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
math.PR2019
Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities
Jure Vogrinc, Wilfrid Stephen Kendall
For sufficiently smooth targets of product form it is known that the variance of a single coordinate of the proposal in RWM (Random walk Metropolis) and MALA (Metropolis adjusted L…
math.PR2019
A Metropolis-class sampler for targets with non-convex support
John Moriarty, Jure Vogrinc, Alessandro Zocca
We aim to improve upon the exploration of the general-purpose random walk Metropolis algorithm when the target has non-convex support , by reusing proposals…