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.
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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 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 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 |
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