A stable manifold MCMC method for high dimensions |
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| Affiliation: | 1. Department of Mathematics and Applications, University of Naples Federico II, Strada Vicinale Cupa Cintia 21, 80126 Naples, Italy;2. Department of Science and Technology, University of Naples Parthenope, Centro Direzionale Isola C3, 80143 Naples, Italy |
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| Abstract: | We combine two important recent advancements of MCMC algorithms: first, methods utilizing the intrinsic manifold structure of the parameter space; then, algorithms effective for targets in infinite-dimensions with the critical property that their mixing time is robust to mesh refinement. |
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| Keywords: | Manifold MCMC Metropolis-adjusted Langevin algorithm Cameron–Martin space Infinite dimensions |
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