A proper choice of a proposal distribution for Markov chain Monte Carlo methods, for example for the Metropolis-Hastings algorithm, is well known to be a crucial factor for the convergence of the ...

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

This paper considers the problem of scaling the proposal distribution of a multidimensional random walk Metropolis algorithm in order to maximize the efficiency of the algorithm. The main result is a ...