acceptance rate

Robust adaptive Metropolis algorithm [arXiv:10114381]

November 23, 2010 | xi'an

Matti Vihola has posted a new paper on arXiv about adaptive (random walk) Metropolis-Hastings algorithms. The update in the (lower diagonal) scale matrix is where is the current acceptance probability and the target acceptance rate; is the current random noise for the proposal, ; is a step size sequence decaying to ...
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