Journal
ANNALS OF APPLIED PROBABILITY
Volume 24, Issue 1, Pages 337-377Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/13-AAP926
Keywords
Metropolis algorithm; Markov chain Monte Carlo; Langevin diffusion; Euler scheme; coupling; contractivity of Markov kernels
Categories
Ask authors/readers for more resources
The Metropolis-adjusted Langevin algorithm (MALA) is a Metropolis Hastings method for approximate sampling from continuous distributions. We derive upper bounds for the contraction rate in Kantorovich-Rubinstein-Wasserstein distance of the MALA chain with semi-implicit Euler proposals applied to log-concave probability measures that have a density w.r.t. a Gaussian reference measure. For sufficiently regular densities, the estimates are dimension-independent, and they hold for sufficiently small step sizes h that do not depend on the dimension either. In the limit h down arrow 0, the bounds approach the known optimal contraction rates for overdamped Langevin diffusions in a convex potential. A similar approach also applies to Metropolis Hastings chains with Ornstein-Uhlenbeck proposals. In this case, the resulting estimates are still independent of the dimension but less optimal, reflecting the fact that MALA is a higher order approximation of the diffusion limit than Metropolis Hastings with Ornstein-Uhlenbeck proposals.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available