Universality of the Langevin diffusion as scaling limit of a family of Metropolis-Hastings processes I: fixed dimension

Michael C. H. Choi

Type: Preprint

Publication Date: 2019-07-24

Citations: 1

Locations

arXiv (Cornell University) - View

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+ PDF Chat	Weak convergence of Markov chain sampling methods and annealing algorithms to diffusions	1991	S.B. Gelfand Sanjoy K. Mitter
+	Optimal scaling for various Metropolis-Hastings algorithms	2001	Gareth O. Roberts Jeffrey S. Rosenthal
+ PDF Chat	Weak convergence and optimal scaling of random walk Metropolis algorithms	1997	Susan A. Gelman Walter R. Gilks Gareth O. Roberts
+ PDF Chat	Diffusion limits of the random walk Metropolis algorithm in high dimensions	2012	Jonathan C. Mattingly Natesh S. Pillai Andrew M. Stuart
+ PDF Chat	A Geometric Interpretation of the Metropolis-Hastings Algorithm	2001	Louis J. Billera Persi Diaconis
+ PDF Chat	General state space Markov chains and MCMC algorithms	2004	Gareth O. Roberts Jeffrey S. Rosenthal
+	Metropolis–Hastings reversiblizations of non-reversible Markov chains	2019	Michael C. H. Choi
+ PDF Chat	Weak convergence of Metropolis algorithms for non-i.i.d. target distributions	2007	Mylène Bédard
+ PDF Chat	A piecewise deterministic scaling limit of lifted Metropolis–Hastings in the Curie–Weiss model	2017	Joris Bierkens Gareth O. Roberts
+ PDF Chat	On Hitting Time, Mixing Time and Geometric Interpretations of Metropolis–Hastings Reversiblizations	2019	Michael C. H. Choi Lu‐Jing Huang