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Computational complexity of Metropolis-Hastings methods in high dimensions
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Beskos, Alexandros and Stuart, A. M. (2009) Computational complexity of Metropolis-Hastings methods in high dimensions. In: L'Ecuyer, Pierre and Owen, Art B., (eds.) Monte Carlo and Quasi-Monte Carlo Methods 2008. Heidelberg: Springer, pp. 61-71. ISBN 9783642041068
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Official URL: http://dx.doi.org/10.1007/978-3-642-04107-5_4
Abstract
This article contains an overview of the literature concerning the computational complexity of Metropolis-Hastings based MCMC methods for sampling probability measures on Rd , when the dimension d is large. The material is structured in three parts addressing, in turn, the following questions: (i) what are sensible assumptions to make on the family of probability measures indexed by d ? (ii) what is known concerning computational complexity for Metropolis-Hastings methods applied to these families? (iii) what remains open in this area?
Item Type: | Book Item | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Publisher: | Springer | ||||
Place of Publication: | Heidelberg | ||||
ISBN: | 9783642041068 | ||||
Book Title: | Monte Carlo and Quasi-Monte Carlo Methods 2008 | ||||
Editor: | L'Ecuyer, Pierre and Owen, Art B. | ||||
Official Date: | 2009 | ||||
Dates: |
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Number of Pages: | 672 | ||||
Page Range: | pp. 61-71 | ||||
DOI: | 10.1007/978-3-642-04107-5-4 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Funder: | ERC, EPSRC, ONR |
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