K. C. Zygalakis

Optimal scaling of MCMC algorithms: the Hamiltonian approach

P. Dobson, J. M. Sanz-Serna, K. C. Zygalakis

We present a simple, yet general approach to study the scaling properties as the dimensionality of Metropolised MCMC sampling algorithms increases. The study relies on the symmetries of the Hamiltonian formalism and ultimately on the symmetry of the Metropolis-Hastings formula. O…Read more