Stability of partially implicit Langevin schemes and their MCMC variants (Q429995): Difference between revisions
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J22 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 93E25 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6048541 / rank | |||
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| Property / zbMATH Keywords | |||
Langevin equation | |||
| Property / zbMATH Keywords: Langevin equation / rank | |||
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time discretization | |||
| Property / zbMATH Keywords: time discretization / rank | |||
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partially implicit methods | |||
| Property / zbMATH Keywords: partially implicit methods / rank | |||
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Metropolis-Hastings algorithm | |||
| Property / zbMATH Keywords: Metropolis-Hastings algorithm / rank | |||
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ergodicity | |||
| Property / zbMATH Keywords: ergodicity / rank | |||
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Revision as of 22:39, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability of partially implicit Langevin schemes and their MCMC variants |
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Stability of partially implicit Langevin schemes and their MCMC variants (English)
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20 June 2012
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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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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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