Optimal design of the Barker proposal and other locally balanced Metropolis–Hastings algorithms
Barker 提议与局部平衡 Metropolis–Hastings 算法的最优设计
Summary We study the class of first-order locally balanced Metropolis–Hastings algorithms introduced in Livingstone & Zanella (2022). To choose a specific algorithm within the class, the user must select a balancing function $g:{\mathbb{R}}_+ \to {\mathbb{R}}_+$ satisfying $g(t) = tg(1/t)$ and a noise distribution for the proposal increment. Popular choices within the class are the Metropolis-adjusted Langevin algorithm and the recently introduced Barker proposal. We first…