Langevin diffusions and the Metropolis-adjusted Langevin algorithm

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 in general distinct and lead to different Metropolis-adjusted Langevin algorithms, which we compare.

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Year of publication:	2014
Authors:	Xifara, T. ; Sherlock, C. ; Livingstone, S. ; Byrne, S. ; Girolami, M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 91.2014, C, p. 14-19
Publisher:	Elsevier
Subject:	Diffusions \| Markov chain Monte Carlo \| Metropolis-adjusted Langevin algorithm \| Riemannian manifolds

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010776535