The Annals of Applied Probability

Optimal scaling for partially updating MCMC algorithms

Peter Neal and Gareth Roberts

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Abstract

In this paper we shall consider optimal scaling problems for high-dimensional Metropolis–Hastings algorithms where updates can be chosen to be lower dimensional than the target density itself. We find that the optimal scaling rule for the Metropolis algorithm, which tunes the overall algorithm acceptance rate to be 0.234, holds for the so-called Metropolis-within-Gibbs algorithm as well. Furthermore, the optimal efficiency obtainable is independent of the dimensionality of the update rule. This has important implications for the MCMC practitioner since high-dimensional updates are generally computationally more demanding, so that lower-dimensional updates are therefore to be preferred. Similar results with rather different conclusions are given for so-called Langevin updates. In this case, it is found that high-dimensional updates are frequently most efficient, even taking into account computing costs.

Article information

Source
Ann. Appl. Probab., Volume 16, Number 2 (2006), 475-515.

Dates
First available in Project Euclid: 29 June 2006

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1151592241

Digital Object Identifier
doi:10.1214/105051605000000791

Mathematical Reviews number (MathSciNet)
MR2244423

Zentralblatt MATH identifier
1127.60021

Subjects
Primary: 60F05: Central limit and other weak theorems
Secondary: 65C05: Monte Carlo methods

Keywords
Metropolis algorithm Langevin algorithm Markov chain Monte Carlo weak convergence optimal scaling

Citation

Neal, Peter; Roberts, Gareth. Optimal scaling for partially updating MCMC algorithms. Ann. Appl. Probab. 16 (2006), no. 2, 475--515. doi:10.1214/105051605000000791. https://projecteuclid.org/euclid.aoap/1151592241


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