Optimizing and Adapting Metropolis Algorithm Proposal Distributions

Chapman & Hall/CRC eBooks 2026 Book chapter

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Authors: Jeffrey S. Rosenthal
DOI: 10.1201/9781003453420-3
Cited by: 0

Abstract

We review various results concerning optimal proposal scalings for Metropolis-Hastings MCMC algorithms, and adaptive MCMC algorithms which attempt to improve the algorithm on the fly.

Fields of Study & Subjects

Markov Chains and Monte Carlo Methods Theoretical and Computational Physics Simulation Techniques and Applications

Publication details

Journal / source
Chapman & Hall/CRC eBooks
Pages
96–109
Publication date
26 February 2026
Language
EN
Document type
Book chapter