Langevin diffusions and the Metropolis-adjusted Langevin algorithm

T. Xifara, C. Sherlock, S. Livingstone, S. Byrne and M. Girolami

Statistics & Probability Letters, 2014, vol. 91, issue C, 14-19

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.

Keywords: Diffusions; Markov chain Monte Carlo; Metropolis-adjusted Langevin algorithm; Riemannian manifolds (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2014.04.002

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