Optimal scaling of discrete approximations to Langevin

  title={Optimal scaling of discrete approximations to Langevin},
  author={Je rey S. Rosenthal},
Acknowledgements. We are grateful to Radford Neal for bringing references from the physics literature to our attention. We also thank Richard Gibbens, Michael Miller, and Richard Tweedie, for helpful discussions, and would like to thank the referees very much for their work. Abstract. We consider the optimal scaling problem for proposal distributions in Hastings-Metropolis algorithms derived from Langevin diiusions. We prove an asymp-totic diiusion limit theorem and show that the relative… CONTINUE READING

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