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

Schmon, Sebastian M.; Gagnon, Philippe

Abstract

High-dimensional limit theorems have been useful to derive tuning rules for finding the optimal scaling in randomwalk Metropolis algorithms. The assumptions under which weak convergence results are proved are however restrictive: the target density is typically assumed to be of a product form. Users may thus doubt the validity of such tuning rules in practical applications. In this paper, we shed some light on optimal-scaling problems from a different perspective, namely a large-sample one. This allows to prove weak convergence results under realistic assumptions and to propose novel parameterdimension- dependent tuning guidelines. The proposed guidelines are consistent with previous ones when the target density is close to having a product form, and the results highlight that the correlation structure has to be accounted for to avoid performance deterioration if that is not the case, while justifying the use of a natural (asymptotically exact) approximation to the correlation matrix that can be employed for the very first algorithm run.

Citation

Schmon, S. M., & Gagnon, P. (2022). Optimal scaling of random-walk Metropolis algorithms using Bayesian large-sample asymptotics. Statistics and Computing, 32(2), Article 28. https://doi.org/10.1007/s11222-022-10080-8

• Journal Article Type: Article
• Acceptance Date: Jan 19, 2022
• Online Publication Date: Feb 18, 2022
• Publication Date: 2022
• Deposit Date: Mar 3, 2022
• Publicly Available Date: May 11, 2022
• Journal: Statistics and Computing
• Print ISSN: 0960-3174
• Electronic ISSN: 1573-1375
• Publisher: Springer
• Peer Reviewed: Peer Reviewed
• Volume: 32
• Issue: 2
• Article Number: 28
• DOI: https://doi.org/10.1007/s11222-022-10080-8
• Public URL: https://durham-repository.worktribe.com/output/1212779