The Library
Skew brownian motion and complexity of the alps algorithm
Tools
Roberts, Gareth O., Rosenthal, Jeffrey S. and Tawn, Nicholas G. (2022) Skew brownian motion and complexity of the alps algorithm. Journal of Applied Probability, 59 (3). pp. 777-796. doi:10.1017/jpr.2021.78 ISSN 0021-9002.
|
PDF
WRAP-Skew-brownian-motion-and-complexity-of-the-alps-algorithm-Roberts-22.pdf - Accepted Version - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (1027Kb) | Preview |
Official URL: http://dx.doi.org/10.1017/jpr.2021.78
Abstract
Simulated tempering is a popular method of allowing Markov chain Monte Carlo algorithms to move between modes of a multimodal target density π . Tawn, Moores and Roberts (2021) introduces the Annealed Leap-Point Sampler (ALPS) to allow for rapid movement between modes. In this paper we prove that, under appropriate assumptions, a suitably scaled version of the ALPS algorithm converges weakly to skew Brownian motion. Our results show that, under appropriate assumptions, the ALPS algorithm mixes in time O(d[logd]2) or O(d), depending on which version is used.
Item Type: | Journal Article | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | ||||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||||||
Library of Congress Subject Headings (LCSH): | Markov processes, Monte Carlo method, Bayesian statistical decision theory, Brownian motion processes, Simulated annealing (Mathematics) | ||||||||||||
Journal or Publication Title: | Journal of Applied Probability | ||||||||||||
Publisher: | Applied Probability Trust | ||||||||||||
ISSN: | 0021-9002 | ||||||||||||
Official Date: | September 2022 | ||||||||||||
Dates: |
|
||||||||||||
Volume: | 59 | ||||||||||||
Number: | 3 | ||||||||||||
Number of Pages: | 20 | ||||||||||||
Page Range: | pp. 777-796 | ||||||||||||
DOI: | 10.1017/jpr.2021.78 | ||||||||||||
Status: | Peer Reviewed | ||||||||||||
Publication Status: | Published | ||||||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||||||
Date of first compliant deposit: | 13 July 2022 | ||||||||||||
Date of first compliant Open Access: | 12 January 2023 | ||||||||||||
RIOXX Funder/Project Grant: |
|
||||||||||||
Open Access Version: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year