Diffusion limits of the random walk Metropolis algorithm in high dimensions

Diffusion limits of MCMC methods in high dimensions provide a useful theoretical tool for studying computational complexity. In particular, they lead directly to precise estimates of the number of steps required to explore the target measure, in stationarity, as a function of the dimension of the st...

Full description

Bibliographic Details

Published in:	arXiv.org
Main Authors:	Mattingly, Jonathan C, Pillai, Natesh S, Stuart, Andrew M
Format:	Paper
Language:	English
Published:	Ithaca Cornell University Library, arXiv.org 04.10.2012
Subjects:	Algorithms Complexity Computation Diffusion Hilbert space Random walk Software
ISSN:	2331-8422
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!