Abstract
We consider the optimal scaling problem for high-dimensional random walk Metropolis (RWM) algorithms where the target distribution has a discontinuous probability density function. Almost all previous analysis has focused upon continuous target densities. The main result is a weak convergence result as the dimensionality
Citation
Peter Neal. Gareth Roberts. Wai Kong Yuen. "Optimal scaling of random walk Metropolis algorithms with discontinuous target densities." Ann. Appl. Probab. 22 (5) 1880 - 1927, October 2012. https://doi.org/10.1214/11-AAP817
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