Optimal scaling of the random walk Metropolis algorithm under L p mean differentiability

Alain Durmus, Sylvain Le Corff, Eric Moulines, Gareth O. Roberts. Optimal scaling of the random walk Metropolis algorithm under L p mean differentiability. J. Applied Probability, 54(4):1233-1260, 2017. [doi]

Authors

Alain Durmus

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Sylvain Le Corff

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Eric Moulines

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Gareth O. Roberts

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