In Jourdain et al. (Optimal scaling for the transient phase of the random walk Metropolis algorithm: The mean-field limit (2012) Preprint), we generalize this result when the initial distribution is ...

We propose an adaptive independent Metropolis-Hastings algorithm with the ability to learn from all previous proposals in the chain except the current location. It is an extension of the independent ...

The Metropolis algorithm for Monte Carlo methods, the simplex method in linear programming, the Fast Fourier Transform for analyzing and manipulating digital data, and the Quicksort algorithm fit ...