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Computational Complexity of Metropolis-Hastings Methods in High Dimensions

Beskos, Alexandros and Stuart, Andrew (2009) Computational Complexity of Metropolis-Hastings Methods in High Dimensions. In: Monte Carlo and Quasi-Monte Carlo Methods 2008. Springer , New York, pp. 61-71. ISBN 978-3-642-04106-8. https://resolver.caltech.edu/CaltechAUTHORS:20170612-102025036

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Abstract

This article contains an overview of the literature concerning the computational complexity of Metropolis-Hastings based MCMC methods for sampling probability measures on ℝ^d, 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 Section
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http://dx.doi.org/10.1007/978-3-642-04107-5_4DOIArticle
https://link.springer.com/book/10.1007/978-3-642-04107-5PublisherArticle
http://rdcu.be/tp0zPublisherFree ReadCube access
Additional Information:© 2009 Springer-Verlag Berlin Heidelberg. This article describes work overviewed in the second author's plenary lecture at MCQMC08, held in Montreal in July 2008. The authors are grateful to the organizers of this conference for the opportunity to present this material in lectured and written form. The authors are also indebted to all coauthors on papers listed in the bibliography, as well as to Jeff Rosenthal, for helpful discussions relating to the material in this paper. They are grateful to the European Research Council, the Engineering and Physical Sciences Research Council (UK) and the Office of Naval Research (USA) for funding all of their coauthored research referenced in the bibliography.
Funders:
Funding AgencyGrant Number
European Research Council (ERC)UNSPECIFIED
Engineering and Physical Sciences Research Council (EPSRC)UNSPECIFIED
Office of Naval Research (ONR)UNSPECIFIED
Other Numbering System:
Other Numbering System NameOther Numbering System ID
Andrew StuartC13
Record Number:CaltechAUTHORS:20170612-102025036
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20170612-102025036
Official Citation:Beskos A., Stuart A. (2009) Computational Complexity of Metropolis-Hastings Methods in High Dimensions. In: L' Ecuyer P., Owen A. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2008. Springer, Berlin, Heidelberg 10.1007/978-3-642-04107-5_4
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:78099
Collection:CaltechAUTHORS
Deposited By: Ruth Sustaita
Deposited On:12 Jun 2017 21:09
Last Modified:03 Oct 2019 18:05

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