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Langevin diffusions and the Metropolis-adjusted Langevin algorithm

✍ Scribed by Xifara, T.; Sherlock, C.; Livingstone, S.; Byrne, S.; Girolami, M.

Book ID
122835884
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
384 KB
Volume
91
Category
Article
ISSN
0167-7152

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The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities . The proposal density is based on a discretized version of a Langevin di usion, and is well deΓΏned only for continuously di erentiable densities . We propose a modiΓΏed MALA algorithm when this condition is