Optimal scaling of Metropolis algorithms: Heading toward general target distributions

No abstract is available for this paper.

• Publication year

  2008

• Venue

  Canadian Journal of Statistics

• Publication date

  2008-12-01

• Fields of study

  Mathematics

• Identifiers
  DOI 10.1002/CJS.5550360401
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234

  2008cited by this paper
• Efficient Sampling Using Metropolis Algorithms: Applications of Optimal Scaling Results

  2008influential reference
• Weak convergence of Metropolis algorithms for non-i.i.d. target distributions

  2007cited by this paper
• Adaptively Scaling the Metropolis Algorithm Using Expected Squared Jumped Distance

  2007cited by this paper
• On the robustness of optimal scaling for random walk metropolis algorithms

  2006influential reference
• OPTIMAL SCALING FOR PARTIALLY UPDATING MCMC ALGORITHMS

  2006influential reference
• Methodology for inference on the Markov modulated Poisson process and theory for optimal scaling of the random walk Metropolis

  2006cited by this paper
• Scaling limits for the transient phase of local Metropolis–Hastings algorithms

  2005cited by this paper
• Markov Processes: Characterization and Convergence

  2005cited by this paper
• Optimal scaling of MaLa for nonlinear regression

  2004cited by this paper
• On Metropolis-Hastings algorithms with delayed rejection

  2001influential reference
• Optimal scaling for various Metropolis-Hastings algorithms

  2001influential reference
• From metropolis to diffusions: Gibbs states and optimal scaling

  2000influential reference
• The Multiple-Try Method and Local Optimization in Metropolis Sampling

  2000cited by this paper
• Optimal scaling of discrete approximations to Langevin diffusions

  1998influential reference
• Weak convergence and optimal scaling of random walk Metropolis algorithms

  1997influential reference
• Bayesian Computation and Stochastic Systems

  1995influential reference
• Spatial Statistics and Bayesian Computation

  1993cited by this paper
• General irreducible Markov chains and non-negative operators: Embedded renewal processes

  1984cited by this paper
• Monte Carlo Sampling Methods Using Markov Chains and Their Applications

  1970cited by this paper

• Optimal scaling results for Moreau-Yosida Metropolis-adjusted Langevin algorithms

  2025cites this paper
• Bee Swarm Metropolis-Hastings Sampling for Bayesian Inference in the Ginzburg-Landau Equation

  2025cites this paper
• Large deviation-based tuning schemes for Metropolis-Hastings algorithms

  2024cites this paper
• Exploring the generalizability of the optimal 0.234 acceptance rate in random-walk metropolis and parallel tempering algorithms

  2024cites this paper
• Large deviations for Independent Metropolis Hastings and Metropolis-adjusted Langevin algorithm

  2024cites this paper
• A large deviation principle for the empirical measures of Metropolis–Hastings chains

  2023cites this paper
• An adaptive multiple-try Metropolis algorithm

  2022cites this paper
• Skew brownian motion and complexity of the alps algorithm

  2020cites this paper
• Bayesian Inference in Snow Avalanche Simulation with r.avaflow

  2020cites this paper
• Optimal Scaling of Metropolis Algorithms on General Target Distributions

  2019cites this paper
• Gradient Structure Of The Ensemble Kalman Flow With Noise

  2019cites this paper
• Optimal scaling of random-walk metropolis algorithms on general target distributions

  2019influential citation
• MCMC adaptatifs à essais multiples

  2019cites this paper
• Large deviations for the empirical measure of the zig-zag process

  2019cites this paper
• Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler

  2019cites this paper
• Deterministic and stochastic damage detection via dynamic response analysis

  2019cites this paper
• Optimal Scaling and Shaping of Random Walk Metropolis via Diffusion Limits of Block-I.I.D. Targets

  2019cites this paper
• Adapting the Gibbs sampler

  2018cites this paper
• Weight-preserving simulated tempering

  2018cites this paper
• Poisson equation and weak approximation for Metropolis-Hastings chains

  2017cites this paper
• Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation

  2017cites this paper
• Optimal Metropolis Scaling: Previous Proofs and Possible Generalizations

  2017cites this paper
• Stability and examples of some approximate MCMC algorithms.

  2017influential citation
• Metropolis-Hastings algorithms with autoregressive proposals, and a few examples

  2016cites this paper
• Non-stationary phase of the MALA algorithm

  2016cites this paper
• Optimal scaling of the random walk Metropolis algorithm under L p mean differentiability

  2016cites this paper
• Tuning of MCMC with Langevin, Hamiltonian, and other stochastic autoregressive proposals

  2016cites this paper
• Efficiency of delayed-acceptance random walk Metropolis algorithms

  2015cites this paper
• Asymptotic analysis of the random walk Metropolis algorithm on ridged densities

  2015cites this paper
• Convergence and Mixing in Markov Chain Monte Carlo: Advanced Algorithms and Latest Developments

  2015cites this paper
• ESTIMATOR REGIONS IN QUANTUM STATE TOMOGRAPHY

  2014cites this paper
• Scaling Analysis of Delayed Rejection MCMC Methods

  2014cites this paper
• ESTIMATOR REGIONS IN QUANTUM STATE TOMOGRAPHY

  2014cites this paper
• Convergence of Multilevel MCMC methods on path spaces

  2014cites this paper
• Irreversible Langevin samplers and variance reduction: a large deviations approach

  2014cites this paper
• On Optimal Scaling of Additive Transformation Based Markov Chain Monte Carlo Under Non-Regular Cases

  2014cites this paper
• Minimising MCMC variance via diffusion limits, with an application to simulated tempering

  2014cites this paper
• A brief review of optimal scaling of the main MCMC approaches and optimal scaling of additive TMCMC under non-regular cases

  2014cites this paper
• Optimizing and Adapting the Metropolis Algorithm

  2014cites this paper
• On the efficiency of pseudo-marginal random walk Metropolis algorithms

  2013cites this paper
• Scaling Analysis of Delayed Rejection MCMC Methods

  2013cites this paper
• On the empirical efficiency of local MCMC algorithms with pools of proposals

  2013cites this paper
• On Optimal Scaling of Additive Transformation Based Markov Chain Monte Carlo

  2013cites this paper
• Convergence of Multilevel MCMC methods on path spaces

  2013cites this paper
• A Brief Tutorial on Transformation Based Markov Chain Monte Carlo and Optimal Scaling of the Additive Transformation

  2013cites this paper
• On ergodic behaviour of Additive Transformation based Markov Chain

  2013cites this paper
• Foundations of Statistical Algorithms: With References to R Packages

  2013cites this paper
• Bayesian Approach to Imputing a Consumption-Income Panel Using the PSID and CEX”

  2012cites this paper
• Parallel hierarchical sampling: A general-purpose interacting Markov chains Monte Carlo algorithm

  2012cites this paper
• Optimal Proposal Distributions and Adaptive MCMC

  2011cites this paper
• Reversible Jump MCMC

  2011cites this paper
• Bayesian post-processor and other enhancements of Subset Simulation for estimating failure probabilities in high dimensions

  2011cites this paper
• Loss Distribution Approach

  2011cites this paper
• Weak Convergence and Optimal Proposals for Monte Carlo Algorithms

  2011cites this paper
• OPTIMAL PROPOSALS FOR MCMC METHODS

  2010cites this paper
• On the estimation of the heavy-tail exponent in time series using the max-spectrum

  2010cites this paper
• Hybrid Monte Carlo : geometric integration and statistics

  2010cites this paper
• Component-Wise Markov Chain Monte Carlo: Uniform and Geometric Ergodicity under Mixing and Composition

  2009cites this paper
• Variable-at-a-time Implementations of Metropolis-Hastings

  2009cites this paper
• MCMC methods in high dimension.

  2009cites this paper
• Channel Estimation in OFDM Systems with Unknown Power Delay Profile using Trans-Dimensional MCMC via Stochastic Approximation

  2009cites this paper
• Implementing Loss Distribution Approach for Operational Risk

  2009cites this paper
• Modeling operational risk data reported above a time-varying threshold

  2009cites this paper
• Parallel hierarchical sampling : a general-purpose class of multiple-chains MCMC algorithms

  2009cites this paper
• Optimal scalings for local Metropolis--Hastings chains on nonproduct targets in high dimensions

  2009cites this paper
• Advances in approximate Bayesian computation and trans-dimensional sampling methodology

  2009cites this paper
• Channel Estimation in OFDM Systems With Unknown Power Delay Profile Using Transdimensional MCMC

  2009cites this paper
• Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

  2009cites this paper
• Optimal Proposal Distributions and Adaptive MCMC

  2008cites this paper
• Optimising and Adapting Metropolis Algorithm Proposal Distributions

  year unknowncites this paper