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Optimal metropolis algorithms for product measures on the vertices of a hypercube.

Roberts, G. O. (1997) Optimal metropolis algorithms for product measures on the vertices of a hypercube. Stochastics, 62 (3 & 4). pp. 275-284.

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Abstract

Optimal scaling problems for high dimensional Metropolis-Hastings algorithms can often be solved by means of diffusion approximation results. These solutions are particularly appealing since they can often be characterised in terms of a simple, observable property of the Markov chain sample path, namely the overall proportion of accepted iterations for the chain. For discrete state space problems, analogous scaling problems can be defined, though due to discrete effects, a simple characterisation of the asymptotically optimal solution is not available. This paper considers the simplest possible (and most discrete) example of such a problem, demonstrating that, at least for sufficiently 'smooth' distributions in high dimensional problems,the Metropolis algorithm behaves similarly to its counterpart on the continuous state space

Item Type: Article
Journal or Publication Title: Stochastics
Uncontrolled Keywords: Metropolis-Hastings algorithm ; scaling problem ; weak convergence ; Mathematics Subject Classification 1991 ; Primary ; 60F05 ; Secondary ; 65U05
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Lancaster Environment Centre
ID Code: 19469
Deposited By: ep_ss_importer
Deposited On: 18 Nov 2008 09:13
Refereed?: Yes
Published?: Published
Last Modified: 26 Jul 2012 15:30
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19469

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