Optimal scaling of discrete approximations to Langevin

@inproceedings{Rosenthal1997OptimalSO,
  title={Optimal scaling of discrete approximations to Langevin},
  author={Je rey S. Rosenthal},
  year={1997}
}
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

From This Paper

Topics from this paper.

Citations

Publications citing this paper.
Showing 1-10 of 13 extracted citations

References

Publications referenced by this paper.
Showing 1-10 of 12 references

Acceptances and autocorrelations in hybrid

  • A. D. Kennedy, B. Pendleton
  • 1991
Highly Influential
2 Excerpts

Bayesian model comparison via jump di u

  • D. B. Phillips, A.F.M. Smith
  • 1994
1 Excerpt

Quantative measure of e ciency of Monte

  • R. D. Mountain, D. Thirumalai
  • 1994
1 Excerpt

Representations of knowledge in complex

  • M.I.U. Grenander
  • 1994

Bayesian computation via the Gibbs sampler

  • A.F.M. Smith, G. O. Roberts
  • 1993
2 Excerpts

Similar Papers

Loading similar papers…