On the efficiency of pseudo-marginal random walk metropolis algorithms

  • Sherlock C
  • Thiery A
  • Roberts G
 et al. 
  • 36


    Mendeley users who have this article in their library.
  • 32


    Citations of this article.


We examine the behaviour of the pseudo-marginal random walk Metropolis algorithm, where evaluations of the target density for the accept/reject probability are estimated rather than computed precisely. Under relatively general conditions on the target distribution, we obtain limiting formulae for the acceptance rate and for the expected squared jump distance, as the dimension of the target approaches infinity, under the assumption that the noise in the estimate of the log-target is additive and is independent of the position. For targets with independent and identically distributed components, we also obtain a limiting diffusion for the first component. We then consider the overall efficiency of the algorithm, in terms of both speed of mixing and computational time. Assuming the additive noise is Gaussian and is inversely proportional to the number of unbiased estimates that are used, we prove that the algorithm is optimally efficient when the variance of the noise is approximately $3.3$ and the acceptance rate is approximately $7.0\%$. We also find that the optimal scaling is insensitive to the noise and that the optimal variance of the noise is insensitive to the scaling. The theory is illustrated with a simulation study using the particle marginal random walk Metropolis.

Author-supplied keywords

  • Diffusion limit
  • MCMC
  • Markov chain monte carlo
  • Optimal scaling
  • Particle methods
  • Pseudo-marginal random walk metropolis

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document

Get full text


  • Chris Sherlock

  • Alexandre H. Thiery

  • Gareth O. Roberts

  • Jeffrey S. Rosenthal

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free