Computational complexity of Metropolis-Hastings methods in high dimensions
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 9783642041068Full text not available from this repository.
Official URL: http://dx.doi.org/10.1007/978-3-642-04107-5_4
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|
|Place of Publication:||Heidelberg|
|Book Title:||Monte Carlo and Quasi-Monte Carlo Methods 2008|
|Editor:||L'Ecuyer, Pierre and Owen, Art B.|
|Number of Pages:||672|
|Page Range:||pp. 61-71|
|Funder:||ERC, EPSRC, ONR|
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