The Annals of Applied Probability

Asymptotic analysis of the random walk Metropolis algorithm on ridged densities

Alexandros Beskos, Gareth Roberts, Alexandre Thiery, and Natesh Pillai

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Abstract

We study the asymptotic behaviour of the Random Walk Metropolis algorithm on “ridged” probability densities where most of the probability mass is distributed along some key directions. Such class of probability measures arise in various applied contexts including for instance Bayesian inverse problems where the posterior measure concentrates on a manifold when the noise variance goes to zero. When the target measure concentrates on a linear manifold, we derive analytically a diffusion limit for the Random Walk Metropolis Markov chain as the scale parameter goes to zero. In contrast to the existing works on scaling limits, our limiting stochastic differential equation does not in general have a constant diffusion coefficient. Our results show that in some cases, the usual practice of adapting the step-size to control the acceptance probability might be sub-optimal as the optimal acceptance probability is zero (in the limit).

Article information

Source
Ann. Appl. Probab., Volume 28, Number 5 (2018), 2966-3001.

Dates
Received: December 2016
Revised: September 2017
First available in Project Euclid: 28 August 2018

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1535443239

Digital Object Identifier
doi:10.1214/18-AAP1380

Mathematical Reviews number (MathSciNet)
MR3847978

Zentralblatt MATH identifier
06974770

Subjects
Primary: 65C05: Monte Carlo methods 65C40: Computational Markov chains
Secondary: 65C30: Stochastic differential and integral equations

Keywords
Manifold random-walk metropolis generator diffusion limit

Citation

Beskos, Alexandros; Roberts, Gareth; Thiery, Alexandre; Pillai, Natesh. Asymptotic analysis of the random walk Metropolis algorithm on ridged densities. Ann. Appl. Probab. 28 (2018), no. 5, 2966--3001. doi:10.1214/18-AAP1380. https://projecteuclid.org/euclid.aoap/1535443239


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