The tamed unadjusted Langevin algorithm (Q2274251)

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Language	Label	Description	Also known as
English	The tamed unadjusted Langevin algorithm	scientific article

Statements

scholarly article

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The tamed unadjusted Langevin algorithm (English)

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Sotirios Sabanis

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Stochastic Processes and their Applications

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publication date

19 September 2019

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full work available at URL

https://arxiv.org/abs/1710.05559

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zbMATH Keywords

tamed unadjusted Langevin algorithm

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Markov chain Monte Carlo

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total variation distance

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Wasserstein distance

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MaRDI profile type

MaRDI publication profile

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An introduction to MCMC for machine learning

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An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift

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Analysis and Geometry of Markov Diffusion Operators

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Nonasymptotic mixing of the MALA algorithm

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Pathwise accuracy and ergodicity of metropolized integrators for SDEs

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Central limit theorems for additive functionals of ergodic Markov diffusions processes

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MCMC methods for functions: modifying old algorithms to make them faster

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Theoretical Guarantees for Approximate Sampling from Smooth and Log-Concave Densities

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Sparse regression learning by aggregation and Langevin Monte-Carlo

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Nonasymptotic convergence analysis for the unadjusted Langevin algorithm

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A Liapounov bound for solutions of the Poisson equation

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Weak backward error analysis for overdamped Langevin processes

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An adaptive Euler-Maruyama scheme for SDEs: convergence and stability

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Partial differential equations and stochastic methods in molecular dynamics

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

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Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations

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Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes

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On the Poisson equation and diffusion approximation. I

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Exponential convergence of Langevin distributions and their discrete approximations

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A note on tamed Euler approximations

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Optimal Transport

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Identifiers

10.1016/j.spa.2018.10.002

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2274251

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