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arXiv · 1606.01528

A Dirichlet Form approach to MCMC Optimal Scaling

Giacomo Zanella·Wilfrid S. Kendall·Mylène Bédard
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Abstract

This paper develops the use of Dirichlet forms to deliver proofs of optimal scaling results for Markov chain Monte Carlo algorithms (specifically, Metropolis-Hastings random walk samplers) under regularity conditions which are substantially weaker than those required by the original approach (based on the use of infinitesimal generators). The Dirichlet form methods have the added advantage of providing an explicit construction of the underlying infinite-dimensional context. In particular, this enables us directly to establish weak convergence to the relevant infinite-dimensional distributions.

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Giacomo Zanella, Wilfrid S. Kendall, Mylène Bédard. 2016-06-05. A Dirichlet Form approach to MCMC Optimal Scaling. https://arxiv.org/abs/1606.01528

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