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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 |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of 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. |
| Date: | 2009 |
| Number of Pages: | 672 |
| Page Range: | pp. 61-71 |
| Identification Number: | 10.1007/978-3-642-04107-5_4 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Funder: | ERC, EPSRC, ONR |
| URI: | http://wrap.warwick.ac.uk/id/eprint/48340 |
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