UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

Langevin diffusions and the Metropolis-adjusted Langevin algorithm

Xifara, T; Sherlock, C; Livingstone, S; Byrne, S; Girolami, M; (2014) Langevin diffusions and the Metropolis-adjusted Langevin algorithm. Statistics & Probability Letters , 91 pp. 14-19. 10.1016/j.spl.2014.04.002. Green open access

[img]
Preview
Text
Byrne_PMALAv5.3.pdf - Accepted version

Download (244kB) | Preview

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

Type: Article
Title: Langevin diffusions and the Metropolis-adjusted Langevin algorithm
Open access status: An open access version is available from UCL Discovery
DOI: 10.1016/j.spl.2014.04.002
Publisher version: https://doi.org/10.1016/j.spl.2014.04.002
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Diffusions, Markov chain Monte Carlo, Metropolis-adjusted Langevin algorithm Riemannian manifolds
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/10064288
Downloads since deposit
51Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item