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arXiv · 1408.4344

Optimal scaling for the pseudo-marginal random walk Metropolis: insensitivity to the noise generating mechanism

Chris Sherlock
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Abstract

We examine the optimal scaling and the efficiency of the pseudo-marginal random walk Metropolis algorithm using a recently-derived result on the limiting efficiency as the dimension, $d\rightarrow \infty$. We prove that the optimal scaling for a given target varies by less than $20\%$ across a wide range of distributions for the noise in the estimate of the target, and that any scaling that is within $20\%$ of the optimal one will be at least $70\%$ efficient. We demonstrate that this phenomenon occurs even outside the range of distributions for which we rigorously prove it. We then conduct a simulation study on an example with $d=10$ where importance sampling is used to estimate the target density; we also examine results available from an existing simulations study with $d=5$ and where a particle filter was used. Our key conclusions are found to hold in these examples also.

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Chris Sherlock. 2014-08-19. Optimal scaling for the pseudo-marginal random walk Metropolis: insensitivity to the noise generating mechanism. https://arxiv.org/abs/1408.4344

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