Langevin diffusions and the Metropolis-adjusted Langevin algorithm

Xifara, Tatiana and Sherlock, Christopher and Livingstone, Samuel and Byrne, Simon and Girolami, Mark (2014) Langevin diffusions and the Metropolis-adjusted Langevin algorithm. Statistics and Probability Letters, 91. pp. 14-19. ISSN 0167-7152

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Abstract

We describe a Langevin diffusion with a target stationary density with respect to Lebesgue measure, as opposed to the volume measure of a previously-proposed diffusion. The two are sometimes equivalent but distinct in general and lead to different Metropolis-adjusted Langevin algorithms, which we compare.

Item Type:
Journal Article
Journal or Publication Title:
Statistics and Probability Letters
Additional Information:
Acceptance email received on 17/03/2014
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
69407
Deposited By:
Deposited On:
07 May 2014 13:01
Refereed?:
Yes
Published?:
Published
Last Modified:
10 Sep 2020 02:02