Publications [#303553] of Jonathan C. Mattingly

Papers Published

1. with Mattingly, JC; Pillai, NS; Stuart, AM, Diffusion limits of the random walk Metropolis algorithm in high dimensions, Annals of Applied Probability, vol. 22 no. 3 (March, 2010), pp. 881-930, Institute of Mathematical Statistics [1003.4306], [1003.4306v4], [doi]
   (last updated on 2024/04/18)

   Abstract:
   Diffusion limits of MCMC methods in high dimensions provide a useful theoretical tool for studying computational complexity. In particular, they lead directly to precise estimates of the number of steps required to explore the target measure, in stationarity, as a function of the dimension of the state space. However, to date such results have mainly been proved for target measures with a product structure, severely limiting their applicability. The purpose of this paper is to study diffusion limits for a class of naturally occurring high-dimensional measures found from the approximation of measures on a Hilbert space which are absolutely continuous with respect to a Gaussian reference measure. The diffusion limit of a random walk Metropolis algorithm to an infinite-dimensional Hilbert space valued SDE (or SPDE) is proved, facilitating understanding of the computational complexity of the algorithm.