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regular seminar Sam Power (University of Bristol)
at: 15:00 - 16:00 KCL, Strand room: Strand Building S4.29 abstract: | The Random Walk Metropolis (RWM) is a simple and enduring Markov chain-based algorithm for approximate simulation from an intractable ‘target’ probability distribution. In this work, we study quantitatively the convergence of this algorithm, providing non-asymptotic estimates on mixing times, with explicit dependence on dimension and other problem parameters. The results hold at a reasonable level of generality, and are often sharp in a suitable sense.
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