Diffusion limits of the random walk Metropolis algorithm in high dimensions

DOI10.1214/10-AAP754zbMath1254.60081arXiv1003.4306OpenAlexW2127836946MaRDI QIDQ433896

Natesh S. Pillai, Andrew M. Stuart, Jonathan C. Mattingly

Publication date: 8 July 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.4306

zbMATH Keywords

Markov chain Monte Carlostochastic partial differential equationsscaling limitsoptimal convergenceconvergence timedifffusion limitrandom walk Metropolis-Hastings

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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