Improving multiple-try Metropolis with local balancing

no code implementations • 21 Nov 2022 • Philippe Gagnon, Florian Maire, Giacomo Zanella

We show both theoretically and empirically that this weight function induces pathological behaviours in high dimensions, especially during the convergence phase.

Optimal scaling of random-walk Metropolis algorithms using Bayesian large-sample asymptotics

no code implementations • 13 Apr 2021 • Sebastian M Schmon, Philippe Gagnon

The assumptions under which weak convergence results are proved are however restrictive: the target density is typically assumed to be of a product form.