An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
From MaRDI portal
Publication:2433262
DOI10.1007/s11009-006-8550-0zbMath1104.65004MaRDI QIDQ2433262
Publication date: 27 October 2006
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-006-8550-0
convergence; numerical examples; Metropolis-Hastings algorithm; quasi-Monte Carlo algorithm; Adaptive Markov chain Monte Carlo; Langevin algorithms; Stochastic approximation algorithm
60J22: Computational methods in Markov chains
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
60J27: Continuous-time Markov processes on discrete state spaces
60J35: Transition functions, generators and resolvents
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