Stability of partially implicit Langevin schemes and their MCMC variants (Q429995)
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| 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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