Stability of partially implicit Langevin schemes and their MCMC variants (Q429995): Difference between revisions

Ergodicity properties of implicit and partially implicit discretization schemes for Langevin equations corresponding to a class of desired stationary distributions are established. It is shown that when used as a proposal for a Metropolis-Hastings scheme, the ergodicity properties are retained. A partially implicit scheme based on local linearization is also analyzed. Examples are provided. For ease of exposition, only the scalar case is considered.

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zbMATH Keywords

Langevin equation

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time discretization

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partially implicit methods

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Metropolis-Hastings algorithm

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ergodicity

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MaRDI profile type

MaRDI publication profile

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cites work

A factorisation of diffusion measure and finite sample path constructions

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MCMC METHODS FOR DIFFUSION BRIDGES

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Geometric ergodicity of discrete-time approximations to multivariate diffusions

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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Rates of convergence of the Hastings and Metropolis algorithms

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Exponential convergence of Langevin distributions and their discrete approximations

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Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Estimation for nonlinear stochastic differential equations by a local linearization method<sup>1</sup>

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Langevin-type models II: Self-targeting candidates for MCMC algorithms

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Q4333039

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Identifiers

zbMATH Open document ID

1248.60080

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DOI

10.1007/s11009-010-9196-5

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:429995

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-Gareth O. Roberts
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+Gareth O. Roberts
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+Ergodicity properties of implicit and partially implicit discretization schemes for Langevin equations corresponding to a class of desired stationary distributions are established. It is shown that when used as a proposal for a Metropolis-Hastings scheme, the ergodicity properties are retained. A partially implicit scheme based on local linearization is also analyzed. Examples are provided. For ease of exposition, only the scalar case is considered.
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+6048541
@@ Property / zbMATH DE Number: 6048541 / rank @@
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@@ Property / zbMATH Keywords @@
+Langevin equation
@@ Property / zbMATH Keywords: Langevin equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time discretization
@@ Property / zbMATH Keywords: time discretization / rank @@
+Normal rank
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+partially implicit methods
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+Metropolis-Hastings algorithm
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+ergodicity
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+W2032614101
@@ Property / OpenAlex ID: W2032614101 / rank @@
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@@ Property / cites work @@
+A factorisation of diffusion measure and finite sample path constructions
+Normal rank
@@ Property / cites work @@
+MCMC METHODS FOR DIFFUSION BRIDGES
@@ Property / cites work: MCMC METHODS FOR DIFFUSION BRIDGES / rank @@
+Normal rank
@@ Property / cites work @@
+Geometric ergodicity of discrete-time approximations to multivariate diffusions
+Normal rank
@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
+Normal rank
@@ Property / cites work @@
+Rates of convergence of the Hastings and Metropolis algorithms
+Normal rank
@@ Property / cites work @@
+Exponential convergence of Langevin distributions and their discrete approximations
+Normal rank
@@ Property / cites work @@
+Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithms
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Estimation for nonlinear stochastic differential equations by a local linearization method<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Langevin-type models II: Self-targeting candidates for MCMC algorithms
+Normal rank
@@ Property / cites work @@
+Q4333039
@@ Property / cites work: Q4333039 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:429995