Langevin-type models. I: Diffusions with given stationary distributions and their discretizations

DOI10.1023/A:1010086427957zbMATH Open0947.60071MaRDI QIDQ1961832FDOQ1961832

O. Stramer, R. L. Tweedie

Publication date: 1 November 2000

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

Markov chainMonte Carloposterior distributionsdiffusionsexponential ergodicityEuler schemesuniform ergodicityirreducible Markov processesLangevin models

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Queueing theory (aspects of probability theory) (60K25) Discrete-time Markov processes on general state spaces (60J05)

Cited In (28)

• NF-ULA: normalizing flow-based unadjusted Langevin algorithm for imaging inverse problems
• Non-asymptotic guarantees for sampling by stochastic gradient descent
• Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
• Polynomial ergodicity of Markov transition kernels.
• On the computational complexity of MCMC-based estimators in large samples
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Stationarity preserving and efficiency increasing probability mass transfers made possible
• \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm
• Stochastic zeroth-order discretizations of Langevin diffusions for Bayesian inference
• Bayesian computation: a summary of the current state, and samples backwards and forwards
• Metropolis-Hastings algorithms with acceptance ratios of nearly 1
• Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
• Accelerating Gaussian diffusions
• User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient
• Strong invariance principles for ergodic Markov processes
• Subgeometric ergodicity of strong Markov processes
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations
• Langevin type limiting processes for adaptive MCMC
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Title not available (Why is that?)
• f-SAEM: a fast stochastic approximation of the EM algorithm for nonlinear mixed effects models
• Proximal Markov chain Monte Carlo algorithms
• On sampling from a log-concave density using kinetic Langevin diffusions
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Ergodicity of the zigzag process
• Convergent stochastic expectation maximization algorithm with efficient sampling in high dimension. Application to deformable template model estimation
• Title not available (Why is that?)

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