We consider a Metropolis--Hastings method with proposal $\mathcal{N}(x, hG(x)^{-1})$, where $x$ is the current state, and study its ergodicity properties. We show that suitable choices of $G(x)$ can change these compared to the Random Walk Metropolis case $\mathcal{N}(x, h\Sigma)$, either for better or worse. We find that if the proposal variance is allowed to grow unboundedly in the tails of the distribution then geometric ergodicity can be established when the target distribution for the algorithm has tails that are heavier than exponential, but that the growth rate must be carefully controlled to prevent the rejection rate approaching unity. We also illustrate that a judicious choice of $G(x)$ can result in a geometrically ergodic chain when probability concentrates on an ever narrower ridge in the tails, something that is not true for the Random Walk Metropolis.
翻译:我们考虑的是大都会-Hastings 方法,建议$\mathcal{N}(x, hG(x) ⁇ -1}) 美元, 美元是当前状态的美元, 我们研究的是其性能。 我们表明, 与随机漫步大都会案 $\mathcal{N}(x, h\Sigma) 相比, 适当的G(x) 美元可以改变这些选择。 我们发现, 如果允许建议差异在分布的尾部中无边地增长, 那么当算法的目标分布有比指数性更重的尾部时, 几何偏差就可以确定, 但是必须谨慎控制增长率以防止拒绝率接近统一。 我们还说明, 明智地选择$(x) 能够导致一个地理学上的ergodic 链, 当概率集中在尾部一个越来越窄的脊时, 随机行大都会则并非如此。