Nonasymptotic convergence analysis for the unadjusted Langevin algorithm
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Publication:2403136
DOI10.1214/16-AAP1238zbMath1377.65007arXiv1507.05021OpenAlexW4299557478MaRDI QIDQ2403136
Publication date: 15 September 2017
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.05021
rate of convergenceMarkov chain Monte CarloMetropolis adjusted Langevin algorithmtotal variation distanceEuler discretizationLangevin diffusionLangevin stochastic differential equation
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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