Multilevel Langevin pathwise average for Gibbs approximation

DOI10.1287/MOOR.2021.0243MaRDI QIDQ7024066zbMATH OpenFDO

Authors Maxime Egéa, Fabien Panloup

Publication date 21 February 2025

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/MOOR.2021.0243

zbMATH Keywords

ergodic diffusionLangevin algorithmmultilevel Monte Carlo

Mathematics Subject Classification ID

Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Monte Carlo methods (65C05)

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