Langevin diffusions and the Metropolis-adjusted Langevin algorithm

DOI10.1016/j.spl.2014.04.002zbMath1298.60081arXiv1309.2983OpenAlexW2082399300WikidataQ61434487 ScholiaQ61434487MaRDI QIDQ2453987

Yanyan Li

Publication date: 12 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.2983

zbMATH Keywords

Markov chain Monte CarloRiemannian manifoldsdiffusionsMetropolis-adjusted Langevin algorithm

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

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• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• Stochastic Calculus
• Parameter Estimation for Differential Equations: a Generalized Smoothing Approach
• Stochastic differential equations. An introduction with applications.

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