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Optimal scaling of discrete approximations to Langevin diffusions. (English) Zbl 0913.60060
Summary: We consider the optimal scaling problem for proposal distributions in Hastings-Metropolis algorithms derived from Langevin diffusions. We prove an asymptotic diffusion limit theorem and show that the relative efficiency of the algorithm can be characterized by its overall acceptance rate, independently of the target distribution. The asymptotically optimal acceptance rate is 0.574. We show that, as a function of dimension n, the complexity of the algorithm is O(n 1/3 ), which compares favourably with the O(n) complexity of random walk Metropolis algorithms. We illustrate this comparison with some example simulations.

MSC:
60J20Applications of Markov chains and discrete-time Markov processes on general state spaces
65C05Monte Carlo methods
Software:
Mathematica